Risk Management Research of Financial Market based on Dynamic Copula Model

DOI

10.2991/icsem.2013.79How to use a DOI?

Keywords

dynamic Copula model, financial market risk management, contagion effect

Abstract

Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Yixian Chai
AU  - Yanli Xu
AU  - Dan Liu
PY  - 2013/04
DA  - 2013/04
TI  - Risk Management Research of Financial Market based on Dynamic Copula Model
BT  - Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013)
PB  - Atlantis Press
SP  - 418
EP  - 421
SN  - 1951-6851
UR  - https://doi.org/10.2991/icsem.2013.79
DO  - 10.2991/icsem.2013.79
ID  - Chai2013/04
ER  -