一致性风险价值及其在中国证券市场的应用研究被引量：1

Cohesive Value at Risk and Case Study in China

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摘要本文分析了VaR做为风险度量工具本身具有的缺点;行为金融理论要求风险度量必须度量下偏风险,要与投资者对信息的非线性反应相符;而收益率分布的实证研究要求风险度量要考虑收益率的尖峰厚尾现象.本文上将双曲分布用来模拟收益率实际分布,在此基础上计算CVaR,及其CVaR在中国证券市场中的应用.

作者文凤华马超群兰秋军任德平杨晓光

机构地区湖南大学工商管理学院

出处《中国管理科学》 CSSCI 2004年第z1期197-203,共7页 Chinese Journal of Management Science

基金教育部十五规划资助项目(01JA790092)

关键词一致性风险价值非线性反应双曲分布行为金融

参考文献7

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中国管理科学

2004年第z1期

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