Research on the Correlation of Portfolio Value at Risk in Financial Markets
金融市场组合风险的相关性研究

Research on the correlation between Shanghai and Shenzhen stock markets.By means of copula function and generalized Pareto distribution,we discussed the dependence structure of Shanghai and Shenzhen stock markets.The copula function can capture the correlation between random variables and GPD described the marginal distribution.So the Copula-GARCH-GPD model is established and used to study the financial market.The empirical results show that the dependence pattern of the two stock markets is Clayton-GARCH-GPD distribution.Moreover,the results presented through Monte Carlo Simulation told that the portfolio VaR under normal joint distribution is lower than under other Copulas.And the Clayton Copula gives secure conclusion at high level quantiles.