基于Copula方法的国债市场相依风险度量

本文讨论了如何利用Copula连接函数对多元金融数据的相依结构进行统计建模，首先对几种常用的Copula连接函数进行了介绍，分析了不同边际分布和不同Copula函数的选取对联合分布产生的影响，然后讨论了Copula函数的选取和其参数的估计问题，最后利用我国国债数据进行实证分析，得到了不同组合的风险值。

Modeling Dependence Risk of Treasury with Copulas in China

This paper discusses how to model the dependence structure of multivariate financial data using the Copula. Firstly, this paper introduces some common used copula, and analyzes the influence of choice of different margin distribution and copula to joint distribution, then this paper discusses the choice of Copula and the estimation of parameter. In the end, based on the copula theory, this paper analyzes the treasury index of China and attains the VaR of different portfolio.