Risk Management Research of Financial Market based on Dynamic Copula Model
Yixian Chai, Yanli Xu, Dan Liu
Available Online April 2013.
- https://doi.org/10.2991/icsem.2013.79How to use a DOI?
- dynamic Copula model, financial market risk management, contagion effect
- Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yixian Chai AU - Yanli Xu AU - Dan Liu PY - 2013/04 DA - 2013/04 TI - Risk Management Research of Financial Market based on Dynamic Copula Model BT - 2nd International Conference On Systems Engineering and Modeling (ICSEM-13) PB - Atlantis Press SP - 418 EP - 421 SN - 1951-6851 UR - https://doi.org/10.2991/icsem.2013.79 DO - https://doi.org/10.2991/icsem.2013.79 ID - Chai2013/04 ER -