摘要
在金融系统中风险管理者十分关注投资风险的大小,尤其是在极端情况下的风险大小。市场风险值()是一种常用的度量风险的方法。本文将极值理论用于中国上证指数和深成指数市场风险值的度量,同时探讨了用极值理论评价资产组合风险的方法,并将其计算结果与基于正态分布同t分布的方法进行比较,发现采用极值理论度量市场风险值要优于经典的方法。
Financial Risk,especially under the extreme condition,is focused by ad ministrant in the finance system.Value-at-risk is a commonly used tool to measure risk.In t his paper the extreme value theory is applied to measure market risk and a metho dology is proposed to estimate portfolio risk.Finally,VaR calculation of extreme distribution is compared with that of the other methodologies,such as based on normal distribution or student t-distribution.The statistical test indicates tha t the effect of this method is better than others.
出处
《价值工程》
2004年第9期109-112,共4页
Value Engineering
基金
国家自然科学基金资助项目(项目编号70171059)
