Research of Copula for Dependence Structure and Appiled Risk Management in Different Markets Index

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題名:	Research of Copula for Dependence Structure and Appiled Risk Management in Different Markets Index
作者:	Yu-Jing Weng
貢獻者:	Department of Finance
關鍵詞:	Copula;Dependence Structure;VaR
日期:	2010
上傳時間:	2010-11-09 05:40:06 (UTC+0)
出版者:	Asia University
摘要:	This research takes Copula model to simulate dependence structures between two indexes and two indexes including Taiwan weighted index, Shanghai Composite Index, Japan's Nikkei 225 index and South Korea's composite index, and uses Lehman’s announcement of bankruptcy and the date of contract of MOU as boundary to show before and after periods. First, this study estimates the index return margin distribution of the country at different periods. The margin distribution almost has the characteristics of the heavy tail, using Student-t distribution is more appropriate for the margin, but Shanghai and Japan is normal distribution after the MOU had been signed. Second, this study constructs four types of common using Copula model, estimates the parameter of correlation, and selects the appropriate Copula. Last, this research uses the suitable Copula to estimate value-at-risk(VaR), using Student-t distribution and normal distribution have phenomena of overestimate and underestimate, but the errors of Student-t distribution is smaller than those of normal distribution; it is more appropriate and useful. Meanwhile, using the appropriate Copula model measures the risky probability with two markets portfolio of return, the result of this research is coincided with real market circumstances.
顯示於類別:	[財務金融學系] 博碩士論文

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