浅谈Copula函数在金融风险分析中的应用

Application of Copula Function in Financial Risk Analysis

金融风险来自金融工具价格的变动,随着金融工具及其衍生产品的多元化发展,各种风险因素之间的关系日趋复杂和紧密,基于线性相关的金融分析模型已不能满足风险分析管理的需要。Copula函数具有许多优良的性质,可以将多元分布分解为单个变量的边缘分布和一个描述变量之间相关结构的Copula函数,从而简化模型的复杂性,提高模型的实用性和有效性。将Copula函数引入到金融风险分析中,可以更加准确的反映资产之间的相关结构,从而提高模型预测的准确性。

Financial risks originate from the variation of financial instrument. However, with di- versified development of financial instrument and derivative products, risk factors become more and more complex, financial analysis models based on linear correlation can no longer meet the needs of financial risk analysis management. Copula function enjoys many advantages in promot- ing the practicability and effectiveness of financial analysis models. This thesis studies the appli- cation of Copula function in financial risk analysis.