Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)

2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)

📍Singapore, Singapore🗓️ 2-4 July 2026
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Application of Copula Model in Risk Analysis of Financial Asset Portfolios

Authors
Ruizhao Guo1, *
1International Business School Suzhou, Xi’an Jiaotong-Liverpool University, Suzhou, Jiangsu, 215123, China
*Corresponding author. Email: Ruizhao.Guo23@student.xjtlu.edu.cn
Corresponding Author
Ruizhao Guo
Available Online 23 October 2026.
DOI
10.2991/978-94-6239-801-6_57How to use a DOI?
Keywords
Copula Model; Risk Analysis; Financial Asset Portfolios
Abstract

This study analyzes the daily returns of three core assets in the Chinese financial market. Data are obtained from the CSMAR database, the gold spot price series, the CSI 300 Index and the ChiNext Index. The sample covers the period from 14 March 2022 to 11 March 2026. Marginal distributions are modeled via the GARCH (1,1)-t model. Four copula functions, namely the Gaussian copula, t-copula, Clayton copula and Gumbel copula, are adopted to characterize the interdependence structures among assets. The copula-GARCH framework is further utilized to calculate the VaR and ES risk metrics for the investment portfolio. Empirical results based on 948 daily return observations indicate that the t-copula yields the optimal fit with an AIC value of -1175.88. The tail correlation coefficient between the CSI 300 Index and the ChiNext Index reaches 0.4344. This value indicates strong co-movement between the two assets under extreme market conditions. The tail dependence coefficient between gold and stock indices is still at a very low level, which shows the advantage of effective risk diversification.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
Series
Advances in Economics, Business and Management Research
Publication Date
23 October 2026
ISBN
978-94-6239-801-6
ISSN
2352-5428
DOI
10.2991/978-94-6239-801-6_57How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ruizhao Guo
PY  - 2026
DA  - 2026/10/23
TI  - Application of Copula Model in Risk Analysis of Financial Asset Portfolios
BT  - Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
PB  - Atlantis Press
SP  - 531
EP  - 540
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-801-6_57
DO  - 10.2991/978-94-6239-801-6_57
ID  - Guo2026
ER  -