Research on the Correlation of Financial Risk based on Copula Technology

摘要

Based on the Copula function, we study the effectiveness of the method in dealing with the nonlinear related structure between the financial risks. We run an empirical analysis according to the data of daily return rate of SSE Composite Index and Shenzhen Composite Index for the ten years of 2007-2017. By using the Kernel-distribution estimation method, the distribution of the sample data was determined, then the parameters of the five selected models were estimated and the correlation coefficients were calculated. Finally, the Square Euclidean was calculated to determine the optimal function model. The results support that Copula function, has become a more effective method of dealing with the relevant structure between variables owing to its excellent features, in which the t-Copula function can describe the related structure of financial assets more accurately, which plays an important guiding role in the prediction and management of financial risk.