Risk Management Research of Financial Market Based on Dynamic Copula Model

Yi Xian Chai; Yan Li Xu; Dan Liu

doi:10.4028/www.scientific.net/AMM.380-384.4472

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 380-384Risk Management Research of Financial Market Based...

Risk Management Research of Financial Market Based on Dynamic Copula Model

Abstract:

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.

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Periodical:

Applied Mechanics and Materials (Volumes 380-384)

Pages:

4472-4475

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.380-384.4472

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Online since:

August 2013

Authors:

Yi Xian Chai, Yan Li Xu, Dan Liu

Keywords:

Contagion Effect, Dynamic Copula Model, Financial Market Risk Management

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