VaR Measurement Based On Copula In The Application Of Portfolio

With the deepening of economic globalization and financial integration, financial risks has become increasingly complex and diverse. Facing the unpredictable of all kinds of risks, how to carry out risk control has become a financial institutions and scholars at home and abroad research important topic. In order to make more objective and scientific risk management, with an effective quantitative financial market risk is particularly important. VaR method is such a risk measure of quantitative analysis tool, which is put forward by a widely recognized in the field of international finance. The traditional VaR method has some defects, and introducing the copulas connect function can effectively improve the method of VaR.This article first introduces the VaR method and the present research on copulas connect theory, then introduces the concept of VaR method, basic principle, calculation method, commonly used then some properties of copulas connect theory and its parameter estimation method carried on the thorough introduction, and the use of copulas connect function to calculate the VaR method is analyzed. Finally introduced through the empirical study confirmed copulas connect function calculating VaR has more advantages than the traditional VaR methods.