Study on Financial Market Risk Management Based on the Dynamic Copula Model

Abstract:

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This thesis mainly studies Copula model and the application of the model in financial market risk management. On the basis of studying copula, this thesis builds a dynamic Copula model to solve the financial market risk management problems. Using statistics and financial theories and Copula model, the thesis studies applications of Copula model in the financial risk management and resolves the problem that whether the financial contagion exists. The results indicate that the applications of model in the financial market risk management are effective, and should study in deep.

Info:

Periodical:

Key Engineering Materials (Volumes 467-469)

Edited by:

Dehuai Zeng

Pages:

2072-2077

DOI:

10.4028/www.scientific.net/KEM.467-469.2072

Citation:

Y. L. Xu and L. L. Wang, "Study on Financial Market Risk Management Based on the Dynamic Copula Model", Key Engineering Materials, Vols. 467-469, pp. 2072-2077, 2011

Online since:

February 2011

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Price:

$35.00

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