Portfolio Risk Analysis Based on Copula Method

This paper introduces Copula function of portfolio risk analysis for fat tail characteristics of existing financial assets, the solution in the past financial portfolio risk theory is more linear correlation-based and fully meet the normality assumption is available metrics defects, to improve the traditional VaR calculation on this basis, to overcome the traditional VaR method is limited to normality assumption ignored the lack of non-linear correlation, and in 2008. the closing price gains in 2014 on the Shanghai Composite Index and Shenzhen index rate risk as a combination of sample data constituting empirical analysis to reveal Copula function and improve the effectiveness of the VaR method superiority and portfolio risk analysis.