Margin Margin Calculation Based On The Dynamic Copulas Connect Function Research

This article discusses the guarantee deposit of the margin which based on the underlying securities of the margin.The guarantee deposit and proportion of the margin are in order to control the risk to avoid the generation of financial risk and the loss of investment transactions. First the article discusses the most usual risk control models in financial data processing such as the price of coefficient method,EWMA method and VaR method,then selects the VaR as our method.The large number of empirical studies have shown that the volatility of the underlying asset is the main reason of the risk and also the core of the calculation of VaR.The paper first considers single asset volatility models include SV model,extreme value model and GARCH model fitting asset fluctuations.we choose GARCH model,residuals for normal distribution, ST distribution and T distribution.Then the article introduces the theorems of Copula connection function. We use it to describe the volatility of the multiple assets.Finally, we use the varying Copula function based on the DCC-MVGARCH method as optimization model.Based on the above theory,this article uses GARCH models to fit the fluctuations of Chinese Petrochemical and Industrial and Commercial Bank of China and selects Normal-Copula and T-Copula to discuss which one fit this two assets best. By using failure rate test T-Copula function model is ultimately selected as the empirical model.Based on this,we calculate the VaR of two assets and applied to the the guarantee deposit and proportion of the margin.