Copula model estimation and test of inventory portfolio pledge rate

摘要

It chooses copper and zinc as a stock portfolio to pledge financing, and uses Clayton-Copula function as the joint density function of the two pledge portfolio. It uses K-S method for goodness of fit test whether the Copula function can correctly describe dependence structure between variables or not. Results show that there is a positive correlation between the two pledges, and the Clayton-Copula function is fitting effect for copper and zinc return correlation structure. The conclusion of this thesis lays the foundation for the following pledge rate calculation and portfolio risk analysis.