摘要
引进金融领域广泛应用的风险价值(Value at Risk,VaR)模型,利用极值理论(ExtremeValue Theory,EVT),计算出极端市场条件下的VaR,以此来衡量航运指数期货发生的损失和概率.以P3A航线的远期运费协议(Forward Freight Agreements,FFA)结算价格为案例,说明方法的操作过程.检验结果表明,该方法有效.
The model of Value at Risk（VaR） is introduced which is widely applied in the financial field. The Extreme Value Theory（EVT） is used to calculate VaR under the extreme market conditions to measure the loss and its probability of shipping index future. Forward Freight Agreements （FFA） settlement price of P3 A route is taken as an example to illustrate the operation of this method. The result shows that the method is effective.
出处
《上海海事大学学报》
北大核心
2010年第2期80-83,94,共5页
Journal of Shanghai Maritime University
关键词
航运指数期货
风险价值
极值理论
广义帕累托分布
shipping index future
value at risk
extreme value theory
general Pareto distribution
