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

Yan Li Xu; Ling Ling Wang

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

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HomeKey Engineering MaterialsKey Engineering Materials Vols. 467-469Study on Financial Market Risk Management Based on...

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

Abstract:

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.

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Periodical:

Key Engineering Materials (Volumes 467-469)

Pages:

2072-2077

DOI:

https://doi.org/10.4028/www.scientific.net/KEM.467-469.2072

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Online since:

February 2011

Authors:

Yan Li Xu, Ling Ling Wang

Keywords:

Contagion Effect, Dynamic Copula Model, Financial Risk Management

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