The integrated measurement of carbon finance market risk based on Copula model

Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model

International Journal of Online Engineering (iJOE) ◽

10.3991/ijoe.v9is2.2595 ◽

2013 ◽

Vol 9 (S2) ◽

Author(s):

Yuhong Zhou ◽

Wenwei Guo

Keyword(s):

Stock Markets ◽

Market Risk ◽

Risk Measurement ◽

Copula Model ◽

T Copula

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Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2019.101004 ◽

2019 ◽

Vol 50 ◽

pp. 101004 ◽

Cited By ~ 1

Author(s):

Saiyan Lin ◽

Rongda Chen ◽

Zhihong Lv ◽

Tianqing Zhou ◽

Chenglu Jin

Keyword(s):

Liquidity Risk ◽

Market Risk ◽

Copula Model

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Research on the Coupling Relationship between Market Risk and Credit Risk in Commercial Banks

MATEC Web of Conferences ◽

10.1051/matecconf/201822805020 ◽

2018 ◽

Vol 228 ◽

pp. 05020

Author(s):

Jie Su ◽

Tian Li ◽

Xin Ni

Keyword(s):

Credit Risk ◽

Commercial Banks ◽

Measurement Model ◽

Market Risk ◽

Business Development ◽

Financial Data ◽

Copula Model ◽

Coupling Relationship ◽

Simulation Techniques ◽

The Relationship

With the complexity and diversity of business development, commercial banks gradually put more focus on how to improve the accuracy of risk measurement. In this essay, we first defined the basic market risk and credit risk indexes by the use of the financial data of the target bank. Then, we built the Copula Model through Monte Carlo simulation techniques. We finally built the Copula-VaR measurement model which revealed the relationship between the two types of risks.

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Risk Management Research of Financial Market Based on Dynamic Copula Model

Applied Mechanics and Materials ◽

10.4028/www.scientific.net/amm.380-384.4472 ◽

2013 ◽

Vol 380-384 ◽

pp. 4472-4475

Author(s):

Yi Xian Chai ◽

Yan Li Xu ◽

Dan Liu

Keyword(s):

Risk Management ◽

Financial Crisis ◽

Financial Market ◽

Financial Risk ◽

Market Risk ◽

Copula Model ◽

Management Research ◽

Financial Risk Management ◽

Dynamic Copula ◽

Financial Market Risk

Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.

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Study on Financial Market Risk Management Based on the Dynamic Copula Model

Key Engineering Materials ◽

10.4028/www.scientific.net/kem.467-469.2072 ◽

2011 ◽

Vol 467-469 ◽

pp. 2072-2077

Author(s):

Yan Li Xu ◽

Ling Ling Wang

Keyword(s):

Risk Management ◽

Financial Market ◽

Financial Risk ◽

Market Risk ◽

Financial Contagion ◽

Copula Model ◽

Financial Risk Management ◽

Dynamic Copula ◽

Management Problems ◽

Financial Market Risk

This thesis mainly studies Copula model and the application of the model in financial market risk management. On the basis of studying copula, this thesis builds a dynamic Copula model to solve the financial market risk management problems. Using statistics and financial theories and Copula model, the thesis studies applications of Copula model in the financial risk management and resolves the problem that whether the financial contagion exists. The results indicate that the applications of model in the financial market risk management are effective, and should study in deep.

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The management of risk in a dryland environment

Proceedings of the New Zealand Grassland Association ◽

10.33584/jnzg.2011.73.2835 ◽

2011 ◽

pp. 13-21

Author(s):

D.I. Gray ◽

J.I. Reid ◽

D.J. Horne

Keyword(s):

Risk Management ◽

Service Providers ◽

Management Strategies ◽

Subterranean Clover ◽

Farming Systems ◽

Market Risk ◽

Farm Size ◽

Forage Crops ◽

Risk Management Strategies ◽

Upside Risk

A group of 24 Hawke's Bay hill country farmers are working with service providers to improve the resilience of their farming systems. An important step in the process was to undertake an inventory of their risk management strategies. Farmers were interviewed about their farming systems and risk management strategies and the data was analysed using descriptive statistics. There was considerable variation in the strategies adopted by the farmers to cope with a dryland environment. Importantly, these strategies had to cope with three types of drought and also upside risk (better than expected conditions), and so flexibility was critical. Infra-structure was important in managing a dryland environment. Farmers chose between increased scale (increasing farm size) and geographic dispersion (owning a second property in another location) through to intensification (investing in subdivision, drainage, capital fertiliser, new pasture species). The study identified that there may be scope for further investment in infra-structural elements such as drainage, deeper rooting alternative pasture species and water harvesting, along with improved management of subterranean clover to improve flexibility. Many of the farmers used forage crops and idling capacity (reduced stocking rate) to improve flexibility; others argued that maintaining pasture quality and managing upside risk was a better strategy in a dryland environment. Supplementary feed was an important strategy for some farmers, but its use was limited by contour and machinery constraints. A surprisingly large proportion of farmers run breeding cows, a policy that is much less flexible than trading stock. However, several farmers had improved their flexibility by running a high proportion of trading cattle and buffer mobs of ewe hoggets and trade lambs. To manage market risk, the majority of farmers are selling a large proportion of their lambs prime. Similarly, cattle are either sold prime or store onto the grass market when prices are at a premium. However, market risk associated with the purchase of supplements and grazing was poorly managed.

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