| 金融整体风险度量的Copula方法研究 |
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| 引用本文： | 赵丽琴.金融整体风险度量的Copula方法研究[J].未来与发展,2011(7):34-37. |
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| 作者姓名： | 赵丽琴 |
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| 作者单位： | 山西财经大学统计学院,山西太原,030006 |
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| 基金项目： | 国家统计局全国统计科研重点项目《统计数据的函数化及函数型数据分析的工具创新》(编号:2009LZ026)资助 |
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| 摘 要： | 本文首先对金融整体风险分布的特征进行了概述,接着总结了金融风险的相关性度量方法,最后探讨了如何用Copula函数对金融机构面临的各种风险进行整合。
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| 关 键 词： | 相关性 整体风险 copula函数 |
Copula Method of Correlation Measurement about Financial Overall Risk |
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| ZHAO Li-qin.Copula Method of Correlation Measurement about Financial Overall Risk[J].Future and Development,2011(7):34-37. |
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| Authors: | ZHAO Li-qin |
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| Institution: | ZHAO Li-qin(Department of Statistics,Shanxi University of Finance and Economics,Taiyuan Shanxi 030006,China) |
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| Abstract: | Firstly,an overview about the characteristics of overall risk in the financial market is proposed,and then summarizes the measurement methods about correlation of the financial risk.In the end the paper discusses how to use the Copula function to integrate various risks faced by financial institutions. |
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| Keywords: | Correlation Overall Risk Copula Function |
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