系统管理学报2011，Vol.20Issue(6)：752-761,10.
基于Copula模型的风险相关性度量方法
A Measure of Risk Correlation Based on Copula Model
摘要
Abstract
We propose a normal model for integrated risk management, discuss the Copula model and its application in risk management of multidimensional Copula, varying Copula, and changing structural Copula, and age indicated the research progress of Copula, namely Pair-Copula. We further summarize the feature, use and localization of all types Copula. Finally, We present a way for choosing the models and point out more research fields.关键词
时变Copula/变结构Copula/集成风险管理/Pair-Copula/模型选择Key words
varying copula/ structural change copula/ integrated risk management/ pair-copula/ model choose.分类
管理科学引用本文复制引用
吴庆晓,刘海龙..基于Copula模型的风险相关性度量方法[J].系统管理学报,2011,20(6):752-761,10.基金项目
中国立信风险管理研究院基金资助 （）
