Research On The Risk Of Stock Index Based On Copula Function

As a result of the recent Sino-US trade war,the economic and trade relations of all countries in the world have been affected to a certain extent.We are facing a series of crises caused by their financial risks.This paper mainly tests and evaluates the predictive risk of the model based on Copula theory,and then compares and selects the best fit model to measure financial risk effectively.It is hoped that the national financial risk management department and the workers engaged in the financial industry can get some practical examples for reference.When financial risks really come,corresponding policies can be implemented immediately to prevent and resist them.The empirical part mainly studies the logarithmic returns of six global stock indices in the Asia-Pacific region.In most cases,the traditional multivariate Copula function model will cause "dimension disaster" in parameter estimation,which makes the result of parameter estimation inaccurate and has great errors.In order to reduce the error of parameter estimation and improve its accuracy,three different types of Vine Copula are constructed in this paper.According to the effect of fitting,Vine Copula model is very good.Then the Monte Carlo simulation method is applied to the Vine Copula function.By test results,with the improvement of confidence level,the effect of the three models to predict the risk value of the corresponding model is more and more accurate,and the R Vine is the best.To solve the problem that the dependence of dual financial assets changes with time,we mainly adopt the structure of non-linear dynamic model.According to the effect of fitting,we think the Time-Varying t-Copula is the best.Monte Carlo simulation method is used to simulate the return rate,and then the risk value VaR is tested from the perspective of risk measurement.It can be seen that the Time-Varying t-Copula function model has the highest accuracy in predicting the VaR.Generally speaking,the whole article is based on Copula's basic knowledge theory,and combines with several real Asia-Pacific stock index data.The core part is to construct a financial risk model,so as to describe the correlation of these stock indexes and measure their VaR.