VaR Calculation of Portfolio Based on Multivariate Skewed Student t Copula Function

This paper applies the multivariate skewed student's t Copula theory in the calculation of VaR,and combined with the index data of Shenzhen security exchange,studies VaR values of three different kinds of Copula function-based portfolios,and in the meantime,compares them with the value of traditional VaR.It is found that the VaR with skst-Copula function is larger than those with Gaussian Copula and t-Copula functions.Results show that skst-Copula function can better describe the tail dependence of the asymmetry and linearity of portfolio returns,and therefore,it comes to a conclusion that the skst-Copula function-based VaR approach does better in the risk management.