Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization

摘要: This paper investigates the dependence of exchange rate onshore Renminbi (RMB) and offshore RMB against US dollar (i.e., CNY CNH) based on copula models. Eleven different copulas were selected to construct multivariate distribution estimate value-at-risk for rate. Empirical results show that time-invariant Student-t is best model fit sample data. The positive upper lower indicates CNH series tend move in same direction. Moreover, between two rates asymmetric, which means traditional models, such as Pearson’s correlation, are inappropriate measure correlations these markets. fitted chosen financial risk, can help business practitioners policymakers track risk evolution make good decisions.