摘要
根据极值-Ⅱ型分布的厚尾性质,结合当今金融市场收益分布的尖峰厚尾特征,提出一种具有尖峰厚尾的Laplace极值-Ⅱ型混合分布,并在此基础上建立了一种新的估计风险价值VaR(Value at Risk)的Laplace极值混合模型,通过对上证B股的实证模拟分析,发现该模型对收益表现异常的金融序列的VaR估计具有较高的应用价值.
As for the sharp-kurtosis and fat-tail characteristics of the money-market yield, a - Laplace and extreme value-Ⅱ distribution is proposed, which is applied to establish mixed distribution a new model for estimating value at risk （VaR）. By demonstrating in the financial market, this new method shows a very high practical value in which return rate has extreme .
出处
《上海大学学报（自然科学版）》
CAS
CSCD
北大核心
2007年第6期715-719,共5页
Journal of Shanghai University:Natural Science Edition
基金
中国立信风险管理研究院资助课题(06FX1-2)
