| Issue |
MATEC Web Conf.
Volume 100, 2017
13th Global Congress on Manufacturing and Management (GCMM 2016)
|
|
|---|---|---|
| Article Number | 05079 | |
| Number of page(s) | 7 | |
| Section | Part 5: Management Engineering | |
| DOI | https://doi.org/10.1051/matecconf/201710005079 | |
| Published online | 08 March 2017 | |
Risk Management of Assets Dependency Based on Copulas Function
School of Management, Wuhan University of Technology, Wuhan, China
E-mail: chenglei_cl@126.com
E-mail: cxf2010611@163.com
As the two important form of financial market, the risk of financial securities, such as stocks and bonds, has been a hot topic in the financial field; at the same time, under the influence of many factors of financial assets, the correlation between portfolio returns causes more research. This paper presents Copula-SV-t model that it uses SV-t model to measure the edge distribution, and uses the Copula-t method to obtain the high-dimensional joint distribution. It not only solves the actual deviation with using the ARCH family model to calculate the portfolio risk, but also solves the problem to overestimate the risk with using extreme value theory to study financial risk. Through the empirical research, the conclusion shows that the model describes better assets and tail characteristics of assets, and is more in line with the reality of the market. Furthermore, Empirical evidence also shows that if the portfolio is relatively large degree of correlation, the ability to disperse portfolio risk is relatively weakness.
Key words: Portfolio / Correlation analysis / Copulas function / Risk management
© The Authors, published by EDP Sciences, 2017
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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