| 极值方法在VaR模型中的应用 |
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| 引用本文： | 吴庆晓,万建平.极值方法在VaR模型中的应用[J].应用数学,2005(Z1). |
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| 作者姓名： | 吴庆晓 万建平 |
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| 作者单位： | 华中科技大学数学系 华中科技大学数学系 湖北武汉 湖北武汉 |
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| 摘 要： | 根据计算VaR的基本原理,本文比较了参数法(资产-正态法)和非参数法(历史模拟法)两种方法的优缺点,并对天相转债指数作了实证分析,发现了收益率的尖峰厚尾的特征.提出用极值的方法来处理厚尾现象.
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| 关 键 词： | 风险价值 尖峰厚尾 极值方法 |
A Review of the Application of Exdtreme Value Theory in VaR Model |
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| WU Qing-xiao,WAN Jian-ping.A Review of the Application of Exdtreme Value Theory in VaR Model[J].Mathematica Applicata,2005(Z1). |
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| Authors: | WU Qing-xiao WAN Jian-ping |
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| Abstract: | According to the basic principle of calculating the Value-at-Risk,this paper contrasts the advantage and the disadvantage of parameter-method(assets-normal method) and non-parameter method(historical-simulate method).It makes an empirical analysis of VaR and the findings indicate the return character sharp peak and heavy-tail.At last,we point out the improve method-extreme value method. |
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| Keywords: | Risk-at-value Sharp peak and heavy tail Extreme value method |
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