Copula Theory And Its Applications In Risk Measurement Of Financial Market Research

Financial crisis, financial institutions face more and more risk, the existing risk measurement method existence insufficiency, financial risk distribution of different forms, the existing correlation metric method to describe the complex financial market related model and so on, based on these reasons, need both a flexible structure, and can reflect the multivariate risk distribution between variables related patterns of technology. The Copula function is such a new, more robust, flexible correlation analysis technique. It is a function, which is mainly used to describe the correlation between random variables. The theory of Copula is Sklar (1959), he pointed out that the continuous K (k>2) Bivariate Joint distribution function can be decomposed into a Copula function and K marginal distributions of two pieces of information, including Copula function describes the relationship between random variables. This can be selected to represent different patterns of Copula function to describe the financial market by the model, and combining with the data of the marginal distributions, by using the Sklar theorem to construct can fully reflect the characteristics of the data distribution form, then according to the distribution forms risk measurement index. Therefore, this paper systematically discusses the function of Copula in various financial risk measurement application.In the global financial crisis circumstances, the national financial institutions must take measures to prevent various risks, to ensure the financial security. To guarantee financial security in financial activities, first of all need to understand what risk may appear in, so as to prevent and resolve risks. According to the nature and origin of financial risk, financial risk mainly face four kinds of risks:market risk, credit risk, operational risk and the overall risk.The Copula theory in practical application has many advantages. The Copula function is very good description of the structure of the tool, can be very good to measure financial market a variety of complex patterns and correlation degree. Therefore, this paper systematically discusses the function of Copula in various financial risk measurement application.The first chapter mainly introduces the background, research significance and research status at home and abroad. The second part of the article mainly introduced the Copula theory, including its definition, nature, and other types of. The third chapter mainly introduces the theory of Copula application in risk measurement of financial market. Including the copula theory in financial risk two kinds of advantages and application method. The fourth chapter introduces the copula method based on the combination of credit risk measurement model, the fifth chapter introduces the copula method based on the portfolio risk measurement model, on this foundation, the article sixth chapter is based on the copula method for portfolio risk measurement:An Empirical study.The article summarized domestic and internationally about Copula function in major financial risk of research, pointed out that the application of Copula function value. In a detailed summary of the basic theory and characteristics of Copula function based on Copula function is derived, by the related indexes of in-depth analysis. This study is focused on the Copula function in the financial risk, credit risk measurement and portfolio risk measurement model and its application.