The Research On The Calculation Of VaR Based On Copula

The measurement of the risk of the financial assets is one of the important contents that is the financial theoretical research. the great advantage of VaR method is that It can express the core of risk management with simple data --- maximum potential loss. The traditional measurement of risk cannot achieve this target. But traditional VaR method always assume that the distribution of individual assets is normal distribution and Linear correlation of different risk assets incomes. The research demonstrate that the distribution of assets income have tail which is thicker than the one of normal distribution generally, and there are non-linear correlation between all assets income. Copula theory differ from traditional modeling method. It can model the whole union distribution and offer more useful information , especially can catch the tail information of asymmetry and distribute nonnormal distribution, thus improve the precision of VaR.This paper has carried on the summary to risk management at first, introduced definition,kinds of financial risks, the necessity of management of financial market risk and the process of management of financial market risk. Then this paper has introduced the major method and application to measure financial market risk in the world thoroughly .Using results of the research, put forward using Copula function to finish stock analysis of VaR that stock assets make up. The example of the above-mentioned Sh and Sz Stock index verify the meaning with traditional VaR method comparative to improved method .Finally, put forward the meaning and suggestion for VaR method to apply to risk management in field of financial market, and summarize it . This paper has proposed the problem needing further solved and studyed.