三种Copula-VaR计算方法与传统VaR方法的比较

金融风险测量VaR方法广泛应用于银行等金融机构,Copula技术以其处理非正态联合分布函数所具有的良好性质逐渐成为国内外研究的热点。本文将Copula理论应用于VaR的计算方法,并与传统的VaR方法进行比较,通过美元和欧元组合的实证研究,得到基于Copula的VaR方法能够更加有效地测量风险的结论。

The Comparison between Three Copula- VaR Approaches and Traditional VaR Methods

The financial risk measurement VaR approach has been widely applied in bank and the other financial institutions. Meanwhile, Copula technique has become the hotspot all over the world with its good characteristics of dealing the non-normal distribution. This article applies the Copula theory in the calculation of VaR, comparing three Copula- VaR methods and the traditional VaR meth- ods. Through the empirical research of the portfolio with U. S. dollar and Euro dollar, we get a conclusion that the Copula based VaR approach does better in the risk management.