Research On Measurement Of Stock Market Risk In China Based On The Dynamic Copula Model

In risk management method,the VaR model who is the value-at-risk,is that some financial properties or the negotiable securities combination will be most greatly possible to lose in future specific period of time under a certain probability level.The analysis of the dependence is a key problem in multivariate financial analysis.It also plays an important role in measure portfolio risk.Traditional research methods of correlation analysis,which just use the linear correlation to describe the dependence structure between random variables is incomplete. Copula function is widely appied in the finance field,especially in the risk management of finance market,choice of the investment portfolio and capital pricing. Copula function is a good tool in dealing with financial problems.In order to catch the dynamic changes of correlation for good measuring of portfolio risk,the key points and main content of this work are listed as follows:First,we introduced the basic theory of Copula and introduced the basic theory about value at risk.And then this paper discusses the model VaR with the methods of Copula-GARCH.?Second,we selected GARCH(1,1) model to estimate the marginal distribution of time series include static copula and dynamic copula.The result is that t distribution can describe the marginal distribution better.Third,we research and analysis the basic theories and the background of Copula model. Combining with the results of the former researchers talking about,the dynamic Copula model and dynamic Copula-GARCH model are founded.Forth,Empirical analysis was used for the Rate of Return for indices of China stock market.With Monte Carlo simulation techniques,paper estimates the value at risk of the portfolio.It was found that dynamic dependency modeling using time varying T-Copula can more accurately measure the market portfolio risk.