VaR Algorithm Based On Copula Theory And Its Application

Since the 70's of last century, the finance risk management technology has developed swiftly and violently under the financial turbulent pressure, the globalization financial organizations' annexation and the mixing industry management tide also set a higher request to the finance risk management. In risk management method, the VaR method, is the value-at-risk, as a result of its good nature, is most conspicuous and is widely applied in the finance risk management. The VaR which is" the value in the risk ", is that some financial property or the negotiable securities combination will be most greatly possible to lose in future specific period of time under a certain probability level.This article first reviews the finance risk management technology and the developing process, carries on a discussion about it, points out the the background and significance of the VaR, then analyzes the situation of VaR research inside and outside of country. Then discusses the prerequisite of how VaR is produced and and its definition in the main text, then introduces the significance of application and summarize its computational method in the financial risk, carries the exhaustive analysis to the VaR risk control model; Then discusses the background condition and the definition of Copula function, then study the nature of Copula function to further, and conducts the detailed research to its classification, proposed a algorithm of each kind of Coupla, compares the nature of each function through a software painting; Finally applies Copula to VaR computation, proposed a new VaR algorithm, compares with the traditional VaR computational method, carries on the real diagnosis analysis, pointed out the improvement the new VaR algorithm has higher accuracy than the traditional VaR computational method.