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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (4): 1-5.

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Risk Analysis of Foreign Exchange Markets by Copula

WU Zhen-xiang, YE Wu-yi, MIAO Bai-qi   

  1. Department of Statistis & Finance, University of Science and Technology of China, Hefei 230026, China
  • Received:2003-10-08 Revised:2004-06-02 Online:2004-08-28 Published:2012-03-07

Abstract: In this paper risk analysis of two-assets portfolio is investigated using Archimedean Copula.The least VaR portfolio of two-assets portfolio can be found by selecting proper Copula.In the practice of foreign exchange markets,the least VaR portfolio of European dollar and Japanese yen is gotten.Also the sensitivity of VaR to the combination coefficients is given.

Key words: Archimedean Copula, VaR(Value at Risk), portfolio, foreign exchange

CLC Number: