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Risk Measurement of Open-end Funds Portfolio of China Based on Copula-GARCH-EVT Model

Cui Ying-yuan

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Abstract

By combining GARCH model with EVT(Extreme Value Theory),we precisely depicted the volatility and tail distribution of each financial asset returns,then applied Copula function and Monte Carlo simulation to the method of calculating portfolio VaR.Empirically analyzing the top ten shares of Ever-bright Bonus Fund,we compute the VaR of each asset and the investment portfolio.Results show that this VaR method based on Copula-GARCH-EVT has great economic value in application.

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What this paper is about

By combining GARCH model with EVT(Extreme Value Theory),we precisely depicted the volatility and tail distribution of each financial asset returns,then applied Copula function and Monte Carlo simulation to the method of calculating portfolio VaR.Empirically analyzing the top ten shares of Ever-bright Bonus Fund,we compute the VaR of each asset and the investment portfolio.Results show that this VaR method based on Copula-GARCH-EVT has great economic value in application.

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Available abstract

By combining GARCH model with EVT(Extreme Value Theory),we precisely depicted the volatility and tail distribution of each financial asset returns,then applied Copula function and Monte Carlo simulation to the method of calculating portfolio VaR.Empirically analyzing the top ten shares of Ever-bright Bonus Fund,we compute the VaR of each asset and the investment portfolio.Results show that this VaR method based on Copula-GARCH-EVT has great economic value in application.

Key concepts: Copula (linguistics), Autoregressive conditional heteroskedasticity, Portfolio, Econometrics, Volatility (finance), Economics, Value at risk, Financial economics

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