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Study on Value at Risk of Investment Portfolio based on Copula Theory
Company: International Conference on Network and Finance Development
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: November
Pages: 103-107
Download Count: 2
View Count: 1146
Comment Num: 0
Language: Chinese
Source: conference proceedings
Who Can Read: Free
Date: 1-1-2012
Publisher: Administrator
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.
Mo, Ruijun Sign in to follow this author
Yang, Jianhui Sign in to follow this author
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