摘要
本文研究了尾部风险的度量问题。首先从信息熵的角度给出累积剩余熵模型和其计算方法,并将该模型与标准差、VaR等常见尾部风险度量方法比较。结果证明该模型计算简单;不需要假设先验分布形式,而只依赖经验数据。
The tail risk measurement is studied in this paper.Firstly,from the viewpoint of information entropy the cumulative residual entropy model and its calculation are given.Then the model with the standard deviation,VaR and other common tail risk measurement methods are compared.The results show that the model is simple,and it does not need to assume the form of prior distribution,but only relys on empirical data.
出处
《运筹与管理》
CSCD
北大核心
2010年第6期98-103,共6页
Operations Research and Management Science
基金
国家自然科学基金项目(10572031)
国家自然科学基金重大项目(10590354)
吉林农业科技学院青年研究基金资助项目
关键词
运筹学
信息熵
剩余熵
尾部风险
operation research
entropy
residual entropy
tail risk
