ABSTRACT
VaR (Value at Risk) is the mainstream risk measurement in both academia and financial practice. While quantify the price risk of a portfolio with a VaR method, it is far from enough to just consider the volatility from each asset, the correlation coefficient between them must also be taken into account for the simple reason that the VaR of a portfolio is not the arithmetic sum of VaR of each asset which are included in the portfolio. Copula functions is a wildly used tool to describe the correlation between assets, we gained some insights from an article which measure the VaR of a portfolio, consisted of copper and reinforcing steel bar futures, with Copula-GARCH model (He et al. 2013).
