VaR Calculation of Portfolio Based on Multivariate Skewed Student t Copula Function
This paper applies the multivariate skewed student's t Copula theory in the calculation of VaR, and combined with the index data of Shenzhen security exchange, studies VaR values of three different kinds of Copula function-based portfolios, and in the meantime, compares them with the value of traditional VaR. It is found that the VaR with skst-Copula function is larger than those with Gaussian Copula and t-Copula functions. Results show that skst-Copula function can better describe the tail dependence of the asymmetry and linearity of portfolio returns, and therefore, it comes to a conclusion that the skst-Copula function-based VaR approach does better in the risk management.
国家科技期刊平台
NSTL
万方数据
维普
