Analysis And Applied Research About Risks In Open-end Funds Based On Copula

With the fast development of economic globalization. the risks of financial market become more complicated and diversified than ever before. Financial risks display non—linear, on-symmetric and tail dependence modes. The linear correlation coefficient based on traditional assumption of normal distribution has been no longer suitable to describe current financial markets. As a tool,Copula function has the advantage to describe the correlation structure, and VaR method of measuring the financial risk is relatively mature. In this paper, we Combine the characteristics of the two, analyze the applications of Copula function comprehensively and systematically in open-ended fund risk measurements.In the theory aspect,firstly we introduce the research status in the financial risk measurements of Copula function all over the world.Then we study on the basic theory and characteristics of Copula function systematically,propose the approach to structure M-Copula function.Secondly,the paper overviews the risk management, introduces the theory and calculation of VaR, and put forward to study the risks of open-end fund with Copula-based methods. The focus is application of the Copula function on the calculation in VaR of open-end fund portfolio, determination of VaR-βfactor in CAPM model and Liquidity risk model.In the empirical aspect, we use Yinhua Core Value and Selection Equity Securities Investment Fund as the object of study. Selecting the top 10 Stocks to established Copula-Kernel Model, Using non-parametric kernel estimation and Archimedean Copula with Monte Carlo simulation, finally we Calculate VaR. The results show that the theoretical calculation of VaR is feasible and effective.which provide a new way of thinking for management of Fund Portfolio and a new method in assessing and managing the funds risk. Fund managers can use it as a reference to control and reduce asset loss and improve fund returns.Finally, the paper summarizes the significance of Copula theory in the study of open-end fund risk,We also raise prospects for further research..