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 AM  Vol.5 No.13 , July 2014
Measuring Dependence Risk of Funds with Copula in China
Jiaqi Tang*, Guohua Sun
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Abstract: The aim of this paper is to measure dependence risk of fund market with copulas in China. Firstly, we introduce several common copula functions, then estimate parameters of copula function, and discuss how to select the optimal copula function. Finally, according to Shanghai and Shenzhen fund data, empirical analysis was done. Different combinations of risk values were obtained.
Keywords: Copula, Dependence Risk, Monte Carlo Simulation, Parameter Estimation
Cite this paper: Tang, J. and Sun, G. (2014) Measuring Dependence Risk of Funds with Copula in China. Applied Mathematics, 5, 1863-1869. doi: 10.4236/am.2014.513179.
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