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基于Bootstrap仿真的广义Pareto现金流风险分析 被引量：4

Cash Flow at Risk Based on Bootstrap Simulating and Generalized Pareto Distribution
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摘要 建立了基于Bootstrap仿真的广义Pareto经营现金流风险(CFaR)模型,在广义Pareto分布的框架下运用基于Bootstrap仿真得到现金流风险价值,以克服广义Pareto分布的小样本造成的估计误差,提高分析的可信度,并改进了广义Pareto模型的不足.将该模型用于中国房地产上市公司现金流风险价值估计,得到了满意的结果. Discusses the nonparametric Bootstrap simulation and the generalized Pareto distribution （GPD）, and combined the two methods to model the cash flow at risk （CFaR）. The GPD method based on bootstrap simulation overcomes the defects of GPD, improves the precision, and is applied to estimate the operating CFaR of the real estate listed companies of China. The results prove that the model is effective for CFaR evaluation.
作者 刘金霞 韩立岩
机构地区 北京航空航天大学经济管理学院
出处 《北京理工大学学报》 EI CAS CSCD 北大核心 2010年第3期374-378,共5页 Transactions of Beijing Institute of Technology
基金 国家教育部高等学校博士学科点专项科研基金资助课题(20050006025) 国家自然科学基金资助项目(70521001)
关键词 Bootstrap仿真 广义PARETO分布 现金流风险 Bootstrap simulating generalized Pareto distribution cash flow at risk
分类号 TP15 [自动化与计算机技术—控制理论与控制工程] F224 [经济管理—国民经济]
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参考文献11

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二级参考文献26

  • 1吴超鹏,吴世农.基于价值创造和公司治理的财务状态分析与预测模型研究[J].经济研究,2005,40(11):99-110. 被引量：76
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同被引文献27

  • 1张翼,刘巍,龚六堂.中国上市公司多元化与公司业绩的实证研究[J].金融研究,2005(9):122-136. 被引量：126
  • 2刘红霞.企业现金流风险识别研究[J].中央财经大学,2005(6) :71 -76.
  • 3王姣.中利科技现金流告急发债8亿风险大[EB/OL]. http://stock, caijing. com. cn/2012 - 06 - 21/111907505. html,2012 -06-21.
  • 4贾祖国.商业地产继续强化,现金流风险增加[EB/OL]. http://data, eastmoney. com/report/20120820/8.html,2012 -08 -20.
  • 5网易财经中小板创业板中报业绩地雷频发制造业成重灾区[EB/OL]. http://money. 163. com/12/0703/13/85GA974B00254IU1. html ,2012 -07 -03.
  • 6中国联通2011年净利增14%拟10派0.335元[EB/OL]搜狐证券.http://stock, sohu. com/20120322/n338602266. shtml ,2012 - 03 - 22.
  • 7移动通信解读中国移动2011年财报:稳健成长冀望LTE[ EB/OL]. http://www. mscbsc. com/viewnews—67466. html,2012 - 04 - 05.
  • 8搜狐中国电信2011年收人达2449亿元同比增长11. 7% [ EB/OL]. http://it. sohu. com/20120320/n338308621. shtml ,2012 -03 -20.
  • 9Pickands,J. Statistical inference using extreme orderstatistics[J].Annals of Statistics, 1975,3: 119 131.
  • 10AshkarF, Tatsambon N C.Revisiting some estimation methodsfor the generalized pareto distribution [J]. Journal of Hydrology,2007,34(6) :136 - 143.

引证文献4

二级引证文献8

北京理工大学学报
2010年 第3期

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