Risk measurement of financial portfolio based on Copula-SV-GPD model

In view of the characteristics of fat tail,fluctution heteroscedasticity and nonlinear correlation of the combination of multiple financial portfolios,this paper combines the SV-t models with the EVT to depict the single asset return volatility and tail characteristics,and applies the Copula function to treat with the non-linear structures among assets and measures the risk of portfolio by Monte Carlo simulation.By empirical research of Hua An Innovation Fund,it is found that the risk measurement model can effectively manage investment risk based on Copula-SV-GPD method,which could effectively depict the time series of returns of financial assets and accurately treat abnormal changes of the tail.