Measuring Dependence Risk of Funds with Copula in China

• 作者: Guohua Sun Jiaqi Tang
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: COPULA DEPENDENCE RISK MONTE Carlo Simulation PARAMETER Estimation
• 年，卷（期）: 2014,（13）
• 页码范围: 1863-1869
• 页数: 7页
• 分类号: R73

摘要

The aim of this paper is to measure dependence risk of fund market with copulas in China. Firstly, we introduce several common copula functions, then estimate parameters of copula function, and discuss how to select the optimal copula function. Finally, according to Shanghai and Shenzhen fund data, empirical analysis was done. Different combinations of risk values were obtained.