稳定分布下的CVaR分析

Analysis of CVaR under Stable Distribution Condition

大量研究表明金融数据的概率分布具有明显的厚尾、峰尖特性,正态分布并不能很好地处理这一特性.针对这个问题,在稳定分布的条件下对CVaR方法进行研究,推导了在稳定分布条件下VaR与CVaR的计算公式,为CVaR模型的进一步研究提供了理论基础.

Conditional Value-at-Risk （CVaR） is widely used to measure finance risks. Lots of research data has proved that the distribution probability of finance data doesn＇ t obey normal distribution and has thick tail or tine apex. Normal distribution can＇ t explain the phenomenon but stable distribution can do well. This paper studies the CVaR method under Stable distribution condition, deduces VaR and CVaR calculating formula to provide theoretical basis for further research.