Copula理论在金融管理领域中的应用概述  

A Summary on the Application of Copula Theory in Financial Management

作　　者：易文德[1] 黄爱华[2] YI Wende;HUANG Aihua(School of Mathematics and Big Data,Chongqing University of Arts and Sciences,Yongchuan Chongqing 402160,China;Finance Department,Chongqing University of Arts and Sciences,Yongchuan Chongqing 400715,China)

机构地区：[1]重庆文理学院数学与大数据学院,重庆永川402160 [2]重庆文理学院财务处,重庆永川402160

出　　处：《重庆文理学院学报（社会科学版）》2022年第4期66-78,共13页Journal of Chongqing University of Arts and Sciences（Social Sciences Edition)

基　　金：国家社会科学基金西部项目“沪港通背景下沪港股市相依结构研究”(15XJY023)。

摘　　要：金融风险的相依关系研究是风险管理、组合投资以及资产定价等领域中的重要问题。近年来,由于Copula函数的优良性质,Copula理论在金融风险管理领域得到了广泛关注和应用。文章对Copula理论在金融管理领域中的研究成果、建模方法、模型的参数估计方法以及实证应用进行较全面的概述,以期梳理Copula理论在金融管理中的研究进展和现状。The research on the dependence of financial risk is an important issue in the fields of risk management,portfolio investment and asset pricing.Due to the excellent properties of Copula function,Copula theory has been widely concerned and applied in the field of financial risk management in recent years.In the paper a comprehensive overview of the research results,modeling methods,parameter estimation methods and empirical application of Copula theory was given in the field of financial management,in order to clarify the research progress and current situation of Copula theory in financial management.

关 键 词：COPULA理论 时间序列 金融管理 

分 类 号：O212[理学—概率论与数理统计]