基于极值理论的干散货运输市场运费风险测度

Measuring the freight risk in dry bulk market based on extreme value theory

基于极值理论(EVT)中的超阈值(POT)方法,利用广义帕累托分布(GPD)拟合干散货运费市场收益率损失的尾部情况,并利用在险价值(VaR)和条件在险价值(CVaR)来度量干散货运费风险.实证研究发现,基于EVT的VaR和CVaR能够更贴切地反映干散货运输市场的运费风险水平,且在不同显著性水平下,CVaR的有效性优于VaR.

This paper makes use of a generalized Pareto distribution（GPD）based on peaks over threshold（POT） model of extreme value theory（EVT）to fit the tail of loss rates in the dry bulk freight market.Also we use VaR and CVaR to measure the level of risk from freight rates.Empirical results show that VaR and CVaR based on EVT are more effective to reflect the freight risks.Meanwhile we find that CVaR is better than VaR at different levels of significance.