analysis of financial risk measurement technology（金融风险测量技术的分析）.docVIP

Analysis of financial risk measurement technology [Abstract] This paper estimates the financial risk of a new method of Copula theory studies at home and abroad have been summarized more clearly outline Copula methods in financial market risk estimates in the application development process and the status quo, on this basis , proposed a comprehensive risk measure Copula method can be adaptive and application prospects. [Keywords] Copula calculation of financial market risk integrated risk With economic globalization and financial liberalization, the global financial markets has been particularly rapid development of financial derivatives, showing unprecedented volatility, financial institutions and investors to the risks faced by an increasingly complex and diverse, so financial risk assessment and measurement has raised higher requirements. traditional risk measurement methods can not meet the needs of the modern financial industry based on this, Copula method estimates this new technology is introduced in the measurement of financial risk . Copula functions are called ‘dependent function’ or ‘connection function’, which is the joint distribution of multi-dimensional random variable with one-dimensional marginal distribution function of link. Copula theory proposed in 1959 by Sklar, defines a joint distribution decomposition the K edge of its distribution and a Copula function, which describes the Copula function of the correlation structure between variables, Sklar theorem Copula approach laid the foundation for the development of the system, but until the late 1990s was only introduced in the financial sector, Nelson ( 1998) introduced a more systematic definition of Copula, construction method, and a comprehensive introduction to the nature of the Copula function and several important Copula function family. Embrechs (1999) Copula theory was introduced into the financial sector, the financial risk analysis to a new stage in our country, Copula