Doctor of Philosophy, (Financial Economics)
Study Completed: 2008
Massey Business School
Thesis Title
Estimating and Evaluating the Archimedean-Copula-Based Models in Financial Risk Management
Read article at Massey Research Online: 
Mr Xu’s research focused on how to estimate the portfolio value-at-risk and how to evaluate the multivariate density forecast. These issues are related to the portfolio selection and the multivariate option pricing. Traditional portfolio theory often does not support empirical evidence that the portfolio returns are asymmetrically distributed. Consequently, it has been found to be questionable in explaining the financial market. In view of this, Mr Xu used a new and highly sophisticated statistical instrument, called the Archimedean copula, to model the asymmetrically distributed portfolio returns. The research results are beneficial to financial risk management as they demonstrate that the Archimedean-copula-based portfolio model is an efficient tool for the purpose of international risk diversification.
Supervisors
Professor Xiaoming Li
Dr Oguzhan Dincer