Analysis And Applied Research About Financial Risks Based On Copula

This paper studies Copula Theory and its application in the financial analysis.On the basis of in-depth study of Copula Theory, the paper studies the Copula model in financial risk analysis applications, then builds credit risk models and portfolio models based on Copula Theory and systematically studies their dynamic modeling problems.Finally, the paper adopts a Copula-GARCH model on our open-end fund portfolio value-at-risk issuing for an empirical study.For the shortage in the theory of the linear correlation coefficient and the traditional methods of statistical analysis, this paper introduces Copula Theory on the field of financial analysis.On the basis of in-depth study of Copula Theory, the paper systematically derives from the Copula functions of the non-linear correlation measure and studies the parameter estimation problem of Copula functions, and then discusses the advantage when we use the Copula function in the financial analysis.Secondly, we discusses Copula function applications in the financial risk analysis in detail, and then builds a Copula-based credit risk analysis model and portfolio risk analysis model.Finally, the paper studies the analysis of Monte Carlo simulation technology which can be used for the portfolio VaR in-depth, then explores the portfolio risk analysis model of the specific use of Copula Theory, in conjunction with the different edge of the distribution on the Copula-GARCH model and the Monte Carlo simulation, the paper studies China's open-end fund risk in a portfolio empirically.The results of empirical research show that the application of the theoretical calculation of VaR portfolio is feasible and effective, which provides a new way of thinking for our investment portfolio fund further research.The study provides a new method for our fund management companies assess and manage the funds or the market risk portfolio, so as to provide reference for them to control and reduce the loss of assets.