The Research On Portfolio Risk Measurement Based On The Theory Of Copula

When the theory of Copula was proposed since 1959,then it got rapid development and extensive application,especially in the financial sector of correlation analysis,derivative pricing and risk management.Copula function has some obvious advantages:one,it can accurately describe the dependence between variables,two,it is flexible to construct the distribution of random variables,three,it doesn't limit the selection of the edge of the random variable distribution,four,it can capture the asymmetry,the characteristics of nonlinear and rush thick tail between variables.It makes up for the traditional risk measure of technical shortcomings and improves the accuracy and reliability of the risk model,as well as provides the theoretical basis for risk prevention and management.Because the development of our country stock market and bond market is shorter,and the market efficiency is significantly lower than the foreign countries,so the structure of the dependence between the two markets and the study of risk must not simply belong to foreign countries.Although the research in this respect has been made some achievements in recent years,not combine Copula functions to take into account the dependencies between the two markets in different market and portfolio risk.Therefore,in order to study the dependency between the portfolio and measure the risk of financial market combinations,the main work of this paper is reflected in:One,this paper describes the background and significance of the research,and points out the importance and necessity of introducing the theory of Copula and does a simple review on the literature of Copula connect both at home and abroad.It makes a comprehensive comparison between Va RwithCVa Rin the theory of portfolio risk analysis.Two,this paper uses CSI300 index and total bond index as the sample,which is from July 2014 toMarch 2017.To divide the sample in accordance with the market(bull market,bear market,rebound in the market,volatile market)is on the basis of 60 per line in K line graph,and conduct empirical analysis for each market separately:It uses the unit root test,the correlation test,the ARCH effect inspection and K-S test,etc in the inspection and analysis of the data;Uses Econometric Views and Matrix Laboratory software to estimate the parameters in the model;Connects Copula functions with the Monte Carlo simulation method to estimate theVa RandCVa Rand portfolio risk of stock and bond markets under a certain degree of confidence level,and optimizes the combination of risk under the section of the market.Through the study we find that:Firstly,it is a negative correlation relationship between stock and bond markets in a bull market and the rally,it is a positively correlated relationship between stock and bond markets in a bear market and volatile market,and the strongest correlation between the two markets is in the market rally.Secondly,GARCH-(1,1)-t model can well describe the time sequence of volatility of financial assets.The portfolio risk is the largest in a bear market and smallest in the bull market.The risk of bond market is relatively high in bull market and rebound market,but it is the lowest in the bear market of the bond market risk.Once again,when the stock market is not divided,the overall relevance obscures the local relevance and the overall risk is overestimated or underestimates the local risk;Finally,investors can according to the size and the positive and negative of the correlation coefficient between stock market and bond market to distinguish what market the two markets is,and to judge the market risk and portfolio risk of two types of asset size,then make a investment balance.