基于Copula-VaR的证 券市场风险度量研究-数量经济学专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Risk measurement is the prerequisite for risk management, it’s also the most important and difficult part in the whole risk management process. Recently, the effort of financial risk control has been focusing on the development of the theory of risk measurement and risk measuring model in the world. In the method of financial risk management, traditional asset liability management relies on form analysis too much and lacks timeliness；the variance method is too abstract；CAPM can not apply to financial derivatives .In1994,J.P.Morgan put forward VaR method. Now, this method has been adopted by numerous financial institutions extensively, and has become the mainstream method to measure market risk for present financial field. With the development of the financial markets, the dependent relationship between them become more and more complicated and represent nonlinear, asymmetric and tail dependence. Methods based on the linear correlation coefficients can not describe the dependence pattern accurately. Sklar’s theory of copulas believe that the information about the dependence is whole contained in the copula function. In this dissertation, we research the dependence pattern of the financial markets by using copula function, and probe into some theory question of the copula and its application in financial analysis. First indicating the background and significance of this dissertation, review the developing process of researching finance risk measure, introduce the VAR theory and its computational method, discuss the elementary theory system of contiguous function, and conducts the detailed research to its classification, introduce its parameter estimation method, elaborate the construction method of Copula model, search the Monte Carlo emulation technique ulteriorly which could be used to analyze VaR. Combined copula techniques with GARCH model, bivariate Copula-GARCH model is provided to avoid defects of classical ri