| dc.description.abstract | This report will introduce a new way to describe the interdependence between returns and volatility of financial assets. It is based on the concept of copulas. The
definition of mathematics, some characteristic properties and practical application
of copulas such as risk measurement, portfolio optimization will be presented in
this article, but the main application in the paper we want to mentions that described modelling dependence of copulas and risk measurement. Using data from
the Vietnam stock market, analyzing one of the daily profit data from 29/10/2012
to 27/10/2017 with a sample portfolio including two index are VN30-INDEX and
HNX30-INDEX.
Although the concept of copulas is not completely popular in the finance field.
However, copulas are a general tool to construct multivariate distributions and
to investigate dependence structure between random variables. In this paper, we
show that copulas can be extensively used to solve many financial problems.
Keyword: Copulas, Risk Management, Gaussian Copula, Student t-copula, Portfolio Optimization, GARCH-Copula Model, Multivariate Independence. | en_US |
