Research on the Correlation of Financial Risk based on Copula Technology

DOI

10.2991/icmess-18.2018.231How to use a DOI?

Keywords

Copula function; Financial risk; Correlation; Risk management

Abstract

Based on the Copula function, we study the effectiveness of the method in dealing with the nonlinear related structure between the financial risks .we run an empirical analysis according to the data of daily return rate of SSE Composite Index and Shenzhen Composite Index for the ten years of 2007-2017. By using the Kernel-distribution estimation method, the distribution of the sample data was determined, then the parameters of the five selected models were estimated and the correlation coefficients were calculated. Finally, the Square Euclidean was calculated to determine the optimal function model. The results support that Copula function, has become a more effective method of dealing with the relevant structure between variables owing to its excellent features, in which the t-Copula function can describe the related structure of financial assets more accurately, which plays an important guiding role in the prediction and management of financial risk.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yafei Chen
AU  - Huanlu Yang
AU  - Xuan Shang
PY  - 2018/06
DA  - 2018/06
TI  - Research on the Correlation of Financial Risk based on Copula Technology
BT  - Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
PB  - Atlantis Press
SP  - 1040
EP  - 1044
SN  - 2352-5398
UR  - https://doi.org/10.2991/icmess-18.2018.231
DO  - 10.2991/icmess-18.2018.231
ID  - Chen2018/06
ER  -