Study on Value at Risk of Investment Portfolio Based on Copula Theory

被引：0

作者：

Yang, Jianhui ^{[1
]}

Mo, Ruijun ^{[1
]}

机构：

[1] S China Univ Technol, Sch Business Adm, Guangzhou, Guangdong, Peoples R China

来源：

NFD 2010: INTERNATIONAL CONFERENCE ON NETWORK AND FINANCE DEVELOPMENT | 2010年

关键词：

investment Portfolio; Copula; VaR;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the risk evaluation of investment portfolio, it is a regular hypothesis that the unite distribution of the portfolio is normal distribution. This paper imposes the theory of Copula to compute the unite distribution on condition that only the marginal distributions are available in order to get a more accurate result and present a second way for the risk measuring. Finally, this paper calculate the value at risk under different proportion.

引用

页码：103 / 107

页数：5