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Measuring Dependence Risk of Funds with Copula in China
School of Management, Guilin University of Technology, Guilin, China
College of Science, Guilin University of Technology, Guilin, China
- 1 School of Management, Guilin University of Technology, Guilin, China
- 2 College of Science, Guilin University of Technology, Guilin, China
Applied Mathematics·Volume 05 (2014)·Pages 1863–1869·Published 7 July 2014·DOI10.4236/am.2014.513179
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Abstract
The aim of this paper is to measure dependence risk of fund market with copulas in China. Firstly, we introduce several common copula functions, then estimate parameters of copula function, and discuss how to select the optimal copula function. Finally, according to Shanghai and Shenzhen fund data, empirical analysis was done. Different combinations of risk values were obtained.
KeywordsCopulaDependence RiskMonte Carlo SimulationParameter Estimation
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