Analysis Of Multivariate Market Portfolio’s Value At Risk Based On Copula-VaR Model

2013was the first year of China’s financial market reformation. In this year, China’sfinancial market endured a rapid development. Operation and monitoring mechanisms ofthe various financial markets are constantly improving; asset securitization, assetmanagement business open up for futures companies, investment companies, investmentrestrictions hybrid market liberalization, constraint relaxation of foreign capitalinvestment scale so a series of initiatives, and both marked the era of big-owned pipe isalready part of China’s financial markets opened. In this era of capital allocation and riskmanagement background research for each industrial capital, investment companies,private equity funds and other institutional investors will be particularly important.Firstly, this essay introduced the relevant theories of the risk management and theVaR model in details, laying a solid theoretical foundation for subsequent research andproviding an empirical analysis idea of this article.Secondly, after an approach combing analysis about the traditional VaRmodel,finding that there isa problem about the traditional VaR model in explaining therisk of cross-market portfolio. Take advantage of the Copula’s function to improve thetraditional VaR method, construct the Copula-VaR model to solve non-normality problemof diversified market portfolio yield marginal distribution of assets.Finally, use the Copula-VaR model for risk pricing in single market’s portfolio andthe diversified market portfolio of assets in empirical analysis. Based on the aboveanalysis and research, combined with the current situation of China’s financial marketoperations, to provide financial market regulators, institutional investors, individualinvestors an effective and comprehensive risk management basement and suggestions ondecision-making.