The VaR Computation Based on Copula

Peng Ding-zhong · Journal of Hunan Institute of Science and Technology · 2009

VaR is a common risk-measuring tool.Link Function(Copula) in Montle-Carlo simulation is presented,and the best Copula is derived through the graph method,statistical inference and AIC criterion.Finally we can compute VaR and prove its effectiveness.

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