基于Copula模型的风险相关性度量方法

A Measure of Risk Correlation Based on Copula Model

给出了集成风险管理的一般模型,论述了多元Copula、时变Copula、变结构Copula模型在风险管理领域的应用,指出了Copula的最新研究进展——Pair-Copula,总结了各种类型Copula模型的特征、用途和局限性。最后,给出了Copula模型的一个选择方法,指出了进一步的研究领域,为在风险管理中选择更合适的模型和对风险实施更准确的度量提供思路。

We propose a normal model for integrated risk management,discuss the Copula model and its application in risk management of multidimensional Copula,varying Copula,and changing structural Copula,and age indicated the research progress of Copula,namely Pair-Copula.We further summarize the feature,use and localization of all types Copula.Finally,We present a way for choosing the models and point out more research fields.