Modeling the Dependence Structure between Financial Assets Based on Copula

Several dependence structural models described by Copula are analyzed.A modeling method by Copula is proposed about dependence structure between financial assets.The obtained results show that the M-Gumbel Copula can be used to characterize comprehensively the dependence structure between SHCI and SZSI,and the simulated VaR besed on the M-Gumbel Copula affirmed the results.