Correlation Between Stock Returns And Risk Evaluation Based On Copula And VaR Theory

The theory of Copula is to combine the marginal distribution and the sequence data,so as to establish the theory of joint distribution".The phase structure of sequence variables is one of the most important topics in statistics,especially in the application of asset sequences.Because of the financial data sequence has the "fat tail" feature,so that the traditional model of normal and,in recent years this incapable of action;the change trend of financial market is becoming more and more serious,the correlation between sequences not only exhibit nonlinear characteristics,but also has a dynamic change,has brought great distress to the many researchers.So,we need to study the relationship between them to produce a new method,put forward the Copula function provides a powerful tool for scholars in addition,with the advent of VaR risk value theory and Copula function in the assets management of the development such as bamboo shoots after a spring rain,which provides a great convenience for the scholars.According to the features of financial series,Copula theory absorbs the advantages of other theories,explained reasonably.The distribution of assets sequence,also can describe the dynamic sequence between phase structure;marginal distribution in the choice is also more flexible,can according to the specific characteristics of the selected number according to the marginal distribution of the same a Copula function can have marginal distribution in various forms,can be simulated by MLK method.In addition,the marginal distribution and Copula function in determining after empirical analysis can be carried out simultaneously,the parameters can also be estimated separately,which reduces the computational troubles brought to a certain extent;only the previous research method is the correlation between variables constant or linear correlation,while ignoring the characteristics of the change,and this the actual situation is contrary,so dynamic correlation theory shizaibide.This paper first gives the concept of Copula theory and some properties of the Sklar theorem guarantees the existence and uniqueness of Copula theory,then mentioned several correlation coefficients and their role in financial risk management based on the Copula theory,then two kinds of commonly used Copula theory has done a more systematic description.Simulation simulation of random variables to obey the whole model by using Monte Carlo and Kupiec VaR,according to the return value of test method and the results of VaR were evaluated and examined,with specific data shows that the risk of the situation,strengthen the rationality.The significance of this thesis lies in the following points:firstly,the traditional Copula theory from two dimensional extended to 3D,bringing it to a new stage;secondly,from a practical sense,the introduction of dynamic VaR provides a theoretical reference for reasonable financial investors.