| 计算资产组合市场风险值的一种有效方法 |
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| 引用本文： | 刘强,阎春宁.计算资产组合市场风险值的一种有效方法[J].运筹学学报,2005,9(1):89-96. |
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| 作者姓名： | 刘强 阎春宁 |
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| 作者单位： | 上海大学国际工商与管理学院,上海,201800 |
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| 基金项目： | 国家自然科学基金(70171059)资助. |
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| 摘 要： | 市场风险值(VaR)是一种常用的度量风险的方法．本文采用极值理论中的阈值模型来计算VaR．基于中国上证指数和深成指数的收盘价，构造超越阈值的极值渐近概率分布，所得到的计算结果与传统方法相比较，有明显的优越性和更好的精度．
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| 关 键 词： | 市场风险 中国 资产组合 收盘价 上证指数 极值理论 度量 渐近 概率分布 阈值 |
| 修稿时间： | 2004年4月21日 |
An Effective Approach for Measuring Portfolio Risk |
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| Liu Qiang,Yan Chunning.An Effective Approach for Measuring Portfolio Risk[J].OR Transactions,2005,9(1):89-96. |
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| Authors: | Liu Qiang Yan Chunning |
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| Institution: | Liu Qiang Yan Chunning College of International Business and Management,Shanghai University,Shanghai 201800,China. |
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| Abstract: | Value-at-risk is a commonly used tool to measure risk. In this paper, the POT(peak over threshold) model in extreme value theory is applied to measure VaR. The extreme asymptotic distribution based on excess sample is fitted by using the daily closings of the shanghai shock index and shenzhen development index. After compared the calculation of POT model with that of the classical methodologies, it shows that this approach is more advantaged and accurate than others. |
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| Keywords: | Operations research Value-at-Risk (VaR) POT model extreme distribution portfolios heavy tail |
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