Risk Measurement of Foreign Exchange Reserve Portfolio Based on Copula Function and ASV-GPD Model

The purpose of this paper is to study the multiple foreign exchange reserve in China by using Copula-ASV-GPD model.Based on the characteristic of fat tail,fluctution heteroscedasticity and nonlinear correlation of the combination of multiple foreign exchange reserve portfolio,this paper combines the ASV models with the EVT to depict the single exchange rate asset return volatility and tail characteristics,apply t Copula function to treat with the non-linear structures among assets and combine with Monte Carlo simulation the risk of portfolio is measured.By empirical analysis of the multiple foreign exchange reserve,it is found that the ASV-GPD model could effectively depict the time series of return for financial assets and accurately treat abnormal changes of the tail,and the method based on Copula Function and ASV-GPD model to measure portfolio risk can manage effectively risk.Moreover,the backtesting results show that the model is suitable for measurement of tail dependence risk of the multiple foreign exchange reserve.