| 在险风险值估计方法的比较研究 |
 点此下载全文 |
| 引用本文：欧 辉.在险风险值估计方法的比较研究[J].经济数学,2010,27(4):15-21 |
| 摘要点击次数: 1595 |
| 全文下载次数: 266 |
|
|
| 中文摘要:金融数据呈现的厚尾性已达成共识。本文首先基于指数回归模型提出了一种厚尾分布的极值分位数估计方法，得到了在险风险值的估计公式。然后得到了上海上证指数、国债指数和企业债券指数的在险风险值的估计值，比较了他们的极值风险. |
| 中文关键词:厚尾分布 在险风险值 极值分位数 |
| |
| Comparison Research of Value-at-Risk Estimation Methods |
|
|
| Abstract:It is well known that finance data tends to heavy-tailed. On the basis of an exponential regression model, this paper proposed an extreme quantile estimator method of heavy-tailed distribution and obtained the estimation formula of value-at-risk(VaR). Then, the estimations of value-at-risk(VaR) of the synthesized index of Shanghai, treasury and corporate bond indexes of China were obtained, and their extremal risk was compared. |
| keywords:heavy-tailed distribution VaR extreme quantile |
| 查看全文 查看/发表评论 下载pdf阅读器 |
位访问者,今日访问
次