Research on the correlation of portfolio value at risk in exchange market

It is of important significance in financial market risk analysis if we are required to study the relationship between the financial data. Aiming at this issue, modeling of several related structure functions (Copula) is analyzed and method is proposed on the dependence structure of portfolio in this paper. Results show that financial market risk with the traditional statistic analysis is estimated to be less than the risk related structure function. The t-Copula to the risk can describe comprehensive and the Clayton Copula to conservative type of investors is more applicable. The computational results on VaR supported the study conclusion.