TITLE:
Measuring Dependence Risk of Funds with Copula in China
AUTHORS:
Jiaqi Tang, Guohua Sun
KEYWORDS:
Copula, Dependence Risk, Monte Carlo Simulation, Parameter Estimation
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.13,
July
7,
2014
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.