Empirical Analysis About Portfolio Of China's Open-end Funds Based On Copula Method

VaR is widely applied to bank and other banking institutions. As Copula has fine character for handling the abnormal joint distribution function it is gradually become the hot studying problem at home and abroad. Copula function can be understudied by"correlative function"or "linking up function" which connect the multidimensional random variable with one dimension boundary distribution. It is not only the tool for constructing distribution but also the tool for exploring the relative construction between the random variable. What's more, Copula method has widely used in the finance area so far and became the good tool for solving the finance problem.First in the theory aspect, this paper overview the risk management and introduce the definition,calculational methods,existed problem about VaR. In the following deeply introduce the Copula theory and how to use the Copula methods to calculate the VaR of China's open-end funds. We found it is difficult for us to solute the analytical formula when use the Copula model to calculate the Portfolio's VaR. So we use the Mento Carlo simulate method calculate VaR.The key of using Mento Carlo method is the emulational technology in the Copula function。Secondly , in the empirical aspect, we use southern high-growth fund shares before 10 as an example, establishing the Copula-GARCH model of the investment portfolio risk analysis. Combinating Monte Carlo simulation techniques, we employ Copula theory to calculate portfolio VaR, and compare with the traditional VaR methods. Empirical results shows that the traditional VaR and Kendall method underestimate the risk value. The reason is tha the traditioal method exist the unavoidble defect based on the assumption that the varible must belongs to normal school and linear correlation.Expecially as extreme events happened,the caculated VaR has warp compared with actual situation.So the VaR method based on the Copula can more effectively measure the open-end funds'portfolio risk.At last we forward the meaning and advice of VaR which is used in the risk management of finance marketing etc.We also forward the problem that needed to be solve in future.