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Pricing and Risk Measuring of Financial Multi-asset Based on the Copula Theory

Author: ZhanXueLi
Tutor: ZhangShiYing
School: Tianjin University
Course: Technology Economics and Management
Keywords: Copula function Dependent structure Financial risks Random fluctuations Realized volatility Derivatives
CLC: F830.9
Type: PhD thesis
Year: 2007
Downloads: 1305
Quote: 4
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Abstract


Copula theory put forward to solve the multi-building as well as the joint distribution of the non-linear correlation between variables, provided a flexible and practical statistical methods. This paper mainly discusses the Copula theory is applied in the financial sector, analysis is based on the theory of multi-Copula pricing financial assets and financial risk measurement modeling methods and applications. The main work as follows: brief introduction to the the Copula theory the basic principles and application methods, the Copula theory research progress at home and abroad, the research ideas, methods and application direction. Copula theory will now be applied to many problems in the financial sector: multi-application in the field of financial risk analysis; mostly using the same method of analysis (Copula-GARCH method) were analyzed for different financial issues; rarely use Copula theory to analyze multiple underlying assets derivatives pricing issues. In this paper, following several angles Copula theory applied in the financial sector were systematically analyzed. First, although the Copula-GARCH model in the analysis of multivariate time series has many advantages, but there Copula-GARCH model is only used to measure the yield of multiple asset related patterns and dependencies for volatility hardly describe the relationship between involved. SV model is also an important method in the modeling of financial volatility, and in the description of the variable volatility is more detailed than the GARCH model. Based on this, the application of copula theory, establish Copula-SV model, the model can describe the relationship between the dependencies between multiple yield on assets and volatility. Second, the high-frequency data univariate realized volatility modeling theory is more mature. But for multi-variable-frequency fluctuations in the data dependencies between the detailed characterization and modeling issues, domestic and foreign literature less. Based on Copula theory, using high-frequency data analysis realized volatility method to create Copula-RV model, discussed the multi-variable high-frequency data has been realized volatility dynamic dependencies. Third, the current research on derivatives pricing more consideration to a single underlying asset derivatives pricing issues, the subject matter for many derivatives pricing model and solve more complex, this paper we consider multiple underlying assets of derivatives dependency is established based on Copula the theory of the subject matter of many stock option pricing model, and gives the subject matter based on multiple asset option pricing method. Copula function of the joint distribution of multiple variables to build an important role, but the marginal distribution is also important to build joint distribution. Copula function can be the edge of the distribution of the variable unified with the dependency structure of the joint distribution of research, explained the joint distribution depends on its marginal distribution Copula function in building joint distribution of the important role of simulation test.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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