| 基于Copula理论的金融风险分析 |
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| 引用本文： | 熊恺平. 基于Copula理论的金融风险分析[J]. 科技信息, 2011, 0(5): 5-6 |
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| 作者姓名： | 熊恺平 |
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| 作者单位： | 上海电机学院数理研究所中国,上海200240 |
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| 基金项目： | 上海市高校选拔培养优秀青年教师科研专项基金项目（sdj-08017）. |
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| 摘 要： | 本文将Copula理论应用于投资组合的风险管理之中。对几种常用的Copula函数进行对比分析,概括出了不同Copula函数的特点。最后对于Copula函数在实际金融风险分析中的应用问题进行了深入的探讨。
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| 关 键 词： | Copula函数 相关性 风险分析 |
The Application of Copula Theory in Financial Risk Analysis |
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| XIONG Kai-ping. The Application of Copula Theory in Financial Risk Analysis[J]. Science, 2011, 0(5): 5-6 |
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| Authors: | XIONG Kai-ping |
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| Affiliation: | XIONG Kai-ping (Department of Mathematics and Physics, Shanghai DianJi University,Shanghai, 200240, China) |
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| Abstract: | In this paper, we applied copula theory in portfolio risk management. Several commonly used Copula functions are compared and analysed. And finally, we adopted Copula model in empirical research for the actual financial risk analysis. |
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| Keywords: | Copula functions Correlation Risk analysis |
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