Application of Copula Models in Financial Management

• Main Authors: Li, Jia-Chi, 李家琦
• Other Authors: Wang, Wei-Jing
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/89203499901046703323

碩士 === 國立交通大學 === 統計學研究所 === 103 === The thesis investigates the application of copula models in financial risk management. Value at Risk (VaR) is often used to measure the potential loss of financial assets. Estimation of VaR involves making assumptions about the joint behavior of multivariate returns or loss. Copula models are widely adopted because of their flexibility. In the thesis, we provide brief introduction of copula models and the concept of VaR. We also review time series models for describing the volatility of financial assets. Then for illustration, we choose different Copula models to estimate the VaR of a portfolio, which includes 2 assets, under the assumption that the volatility of log-return follows the GARCH(1,1) model.