Risk Management of Assets Dependency Based on Copulas Function
As the two important form of financial market, the risk of financial securities, such as stocks and bonds, has been a hot topic in the financial field; at the same time, under the influence of many factors of financial assets, the correlation between portfolio returns causes more research. This pape...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | MATEC Web of Conferences |
| Subjects: | |
| Online Access: | https://doi.org/10.1051/matecconf/201710005079 |
| _version_ | 1818918367897059328 |
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| author | Cheng Lei Chen Xiaofang |
| author_facet | Cheng Lei Chen Xiaofang |
| author_sort | Cheng Lei |
| collection | DOAJ |
| description | As the two important form of financial market, the risk of financial securities, such as stocks and bonds, has been a hot topic in the financial field; at the same time, under the influence of many factors of financial assets, the correlation between portfolio returns causes more research. This paper presents Copula-SV-t model that it uses SV-t model to measure the edge distribution, and uses the Copula-t method to obtain the high-dimensional joint distribution. It not only solves the actual deviation with using the ARCH family model to calculate the portfolio risk, but also solves the problem to overestimate the risk with using extreme value theory to study financial risk. Through the empirical research, the conclusion shows that the model describes better assets and tail characteristics of assets, and is more in line with the reality of the market. Furthermore, Empirical evidence also shows that if the portfolio is relatively large degree of correlation, the ability to disperse portfolio risk is relatively weakness. |
| first_indexed | 2024-12-20T00:48:51Z |
| format | Article |
| id | doaj.art-524119e5c33147feb02ef942e05de339 |
| institution | Directory Open Access Journal |
| issn | 2261-236X |
| language | English |
| last_indexed | 2024-12-20T00:48:51Z |
| publishDate | 2017-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | MATEC Web of Conferences |
| spelling | doaj.art-524119e5c33147feb02ef942e05de3392022-12-21T19:59:18ZengEDP SciencesMATEC Web of Conferences2261-236X2017-01-011000507910.1051/matecconf/201710005079matecconf_gcmm2017_05079Risk Management of Assets Dependency Based on Copulas FunctionCheng LeiChen XiaofangAs the two important form of financial market, the risk of financial securities, such as stocks and bonds, has been a hot topic in the financial field; at the same time, under the influence of many factors of financial assets, the correlation between portfolio returns causes more research. This paper presents Copula-SV-t model that it uses SV-t model to measure the edge distribution, and uses the Copula-t method to obtain the high-dimensional joint distribution. It not only solves the actual deviation with using the ARCH family model to calculate the portfolio risk, but also solves the problem to overestimate the risk with using extreme value theory to study financial risk. Through the empirical research, the conclusion shows that the model describes better assets and tail characteristics of assets, and is more in line with the reality of the market. Furthermore, Empirical evidence also shows that if the portfolio is relatively large degree of correlation, the ability to disperse portfolio risk is relatively weakness.https://doi.org/10.1051/matecconf/201710005079PortfolioCorrelation analysisCopulas functionRisk management |
| spellingShingle | Cheng Lei Chen Xiaofang Risk Management of Assets Dependency Based on Copulas Function MATEC Web of Conferences Portfolio Correlation analysis Copulas function Risk management |
| title | Risk Management of Assets Dependency Based on Copulas Function |
| title_full | Risk Management of Assets Dependency Based on Copulas Function |
| title_fullStr | Risk Management of Assets Dependency Based on Copulas Function |
| title_full_unstemmed | Risk Management of Assets Dependency Based on Copulas Function |
| title_short | Risk Management of Assets Dependency Based on Copulas Function |
| title_sort | risk management of assets dependency based on copulas function |
| topic | Portfolio Correlation analysis Copulas function Risk management |
| url | https://doi.org/10.1051/matecconf/201710005079 |
| work_keys_str_mv | AT chenglei riskmanagementofassetsdependencybasedoncopulasfunction AT chenxiaofang riskmanagementofassetsdependencybasedoncopulasfunction |