计算资产组合市场风险值的一种有效方法(英文) 被引量：1

An Effective Approach for Measuring Portfolio Risk

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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. 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.

作者刘强阎春宁

机构地区上海大学国际工商与管理学院

出处《运筹学学报》 CSCD 北大核心 2005年第1期89-96,共8页 Operations Research Transactions

基金国家自然科学基金(70171059)资助.

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 Operations research, Value-at-Risk (VaR), POT model, extreme distribution, portfolios, heavy tail.

分类号 O174.14 [理学—基础数学] F832 [经济管理—金融学]

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共引文献1

1陈志宏,阎春宁,余鹏.市场风险值VaR的算法与应用[J].应用数学与计算数学学报,2002,16(2):1-6. 被引量：5

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