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

2019 ◽  
Vol 50 ◽  
pp. 101004 ◽  
Author(s):  
Saiyan Lin ◽  
Rongda Chen ◽  
Zhihong Lv ◽  
Tianqing Zhou ◽  
Chenglu Jin

2018 ◽  
Vol 228 ◽  
pp. 05020
Author(s):  
Jie Su ◽  
Tian Li ◽  
Xin Ni

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.


2013 ◽  
Vol 380-384 ◽  
pp. 4472-4475
Author(s):  
Yi Xian Chai ◽  
Yan Li Xu ◽  
Dan Liu

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.


2011 ◽  
Vol 467-469 ◽  
pp. 2072-2077
Author(s):  
Yan Li Xu ◽  
Ling Ling Wang

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.


Author(s):  
D.I. Gray ◽  
J.I. Reid ◽  
D.J. Horne

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.


Waterlines ◽  
2013 ◽  
Vol 32 (4) ◽  
pp. 308-314 ◽  
Author(s):  
Daniel Yeo
Keyword(s):  

2015 ◽  
Author(s):  
Simon Stevenson ◽  
Mutale Katyoka

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 9-11
Author(s):  
Keith Joseph MacIsaac

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