Risk Management Research of Financial Market Based on Dynamic Copula Model

2013 ◽  
Vol 380-384 ◽  
pp. 4472-4475
Author(s):  
Yi Xian Chai ◽  
Yan Li Xu ◽  
Dan Liu
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Copula Model ◽  
Management Research ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Financial Market Risk

Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.

Study on Financial Market Risk Management Based on the Dynamic Copula Model

2011 ◽  
Vol 467-469 ◽  
pp. 2072-2077
Author(s):  
Yan Li Xu ◽  
Ling Ling Wang
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Financial Contagion ◽  
Copula Model ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Management Problems ◽  
Financial Market Risk

This thesis mainly studies Copula model and the application of the model in financial market risk management. On the basis of studying copula, this thesis builds a dynamic Copula model to solve the financial market risk management problems. Using statistics and financial theories and Copula model, the thesis studies applications of Copula model in the financial risk management and resolves the problem that whether the financial contagion exists. The results indicate that the applications of model in the financial market risk management are effective, and should study in deep.

scholarly journals Practical Volatility and Correlation Modeling for Financial Market Risk Management

2005 ◽  
Author(s):  
Torben Andersen ◽  
Tim Bollerslev ◽  
Peter Christoffersen ◽  
Francis Diebold
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Market Risk ◽  
Financial Market Risk

scholarly journals Practical Volatility and Correlation Modeling for Financial Market Risk Management

2013 ◽  
pp. 513-544 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Peter F. Christoffersen ◽  
Francis X. Diebold
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Market Risk ◽  
Financial Market Risk

scholarly journals Regulacija financijskog tržišta prije i nakon svjetske krize

2017 ◽  
Vol 5 (1) ◽  
Author(s):  
Anita Radman Peša ◽  
Vanja Zubak ◽  
Duje Mitrović
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Financial Risk ◽  
Banking Sector ◽  
Financial Regulation ◽  
Banking System ◽  
Financial Risk Management ◽  
Macroeconomic Stability

The banking sector in the global economic system is an area of great impact on the preservation of macroeconomic stability. As it turned out, and during the recent economic crisis, whose consequences are still felt in many countries, the collapse of the financial markets has farreaching effects on all of the national financial markets. The aim of this paper is to analyze the existing regulation of the financial markets and its (lack of) performance in the current financial risk management in order to preserve macroeconomic stability, and provide a secure and stable banking system. The purpose of the study was to present financial regulation before the crisis of 2008 / 2009, and to compare it with the regulations issued after the global crisis of 2008 / 2009 in order to conclusion whether it is cosmetic or real changes of regulating the financial system, and whether existing regulation in the future successfully prevent minor and major disruptions of the financial markets. Croatian financial market is especially analysed in the case of manipulation using the benchmark interest rates.

scholarly journals Practical Volatility and Correlation Modeling for Financial Market Risk Management

2005 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Peter Christoffersen ◽  
Francis X. Diebold
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Market Risk ◽  
Financial Market Risk

The Application of Risk Data Measures Mode of Bias Statistics in the Financial Markets with Computer Analysis

2014 ◽  
Vol 687-691 ◽  
pp. 4934-4937
Author(s):  
Jia Peng Guo ◽  
Lian Bai
Keyword(s):  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Effective Control ◽  
Financial Risks ◽  
Countermeasures And Suggestions ◽  
Control And Management ◽  
The Empirical Analysis ◽  
Financial Market Risk ◽  
Core Problem

The core problem of effective control and management of financial risk is how to measure the risk. It is very necessary to cable model statistics new, scientific and reasonable to predict and prevent the risks that may be encountered. This article is precisely launches the research under such a background to explore the model of Bayesian statistical analysis on financial market risk measurement. And the three main types of risks in China's financial market: credit risk and market risk, operational risk and the empirical analysis, China's financial market risk causes and puts forward the prevention countermeasures and suggestions of reducing the financial risks.

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