Research On Portfolio Risk Measurement Based On Copula Function

With the continuous development of economic globalization,financial globalization degree between countries are deepening,the financial innovation mode,and financial products are derived,in the creation of a large number of investment opportunities for investors in the market,obtain fruitful returns at the same time,also provide investors with a huge risk to lose,according to the herd by follow the trend of convergence and effect of investor behavior,will lead to the entire region,and the country caused great financial turmoil,the financial crisis,such as the subprime crisis in the United States,eventually led to the global financial crisis.Therefore,on the one hand,investors must recognize the linkage problem of financial market,and find that one market does not respond promptly and make evasive measures and strategies in a timely manner.On the other hand,investors should be more investment to improve their literacy,reasonable to construct the investment portfolio,the diversification of investment,in order to achieve the purpose of hedge investment risk,the most important is the issue of risk management issues of portfolio risk measure portfolio reasonably,in order to achieve extreme events,a very small probability of portfolio fluctuation,so as to ensure the robustness and effectiveness of the investment portfolio.This paper from the two aspects of the related problems of the first to build portfolio investment portfolio structure and dependency problem,followed by the study of the problem of risk portfolio metrics,with research questions from the progressive layers,spread to the entire financial market in the same logic,between different national financial market etc.the problem.On the basis of reading a large number of domestic and foreign literature,the financial data of the stock market is analyzed in combination with the current situation of the Chinese financial market,especially the stock market.This paper uses Copula-GARCH(1,1)model to analyze the white goods index in China A stock market index volatility and liquor portfolio,taking into account the financial market returns of non symmetry and the characteristic peak and thick tail by GARCH(1,1)model to construct the marginal distribution function,through the Copula function to describe the correlation structure between the two financial time series and get the joint distribution of portfolio returns,and various parameters through the portfolio model constructed by the simulation using Monte Carlo algorithm has the distribution rate of Copula related structure of earnings,risk value VaR portfolio,through model test,thus obtains the effective conclusion model the.The results show that the use of GARCH(1,1)-t model to fit the marginal distribution,makes the risk assessment more authentic,on the other hand,VAR is to calculate the effective combination of Copula model and Monte Carlo simulation,the effectiveness is very significant,this method is suitable for construction of multi asset portfolio.Finally,suggestions are provided to provide reasonable allocation of financial assets,reduce risks and prevent risks for investors,The government should improve the regulatory mechanism of the financial market,strengthen the construction of the legal system,and put forward reasonable suggestions for the investors to create a good investment environment.