CVaR风险度量方法下百分层资本配置模型

Capital Allocation Model by Percentile Layer Under CVaR Risk Measurement Method

针对百分层资本配置模型中VaR风险度量方法对极值事件的风险度量不足的问题,考虑到CVaR对尾部风险的度量要比VaR更加充分,引入CVaR风险度量方法,构建CVaR风险度量方法下的百分层资本配置模型,并给出Pareto分布约束下百分层资本配置公式,解决了对极值事件的风险的度量问题.最后,结合统计数据,运用统计分析软件Eviews 8.0和Matlab,给出CVaR风险度量方法下损失服从Pareto分布的百分位层资本配置模型的实例分析验证模型的实用性.

According to the fact that VaR risk measurement method can not measure the risk of the extreme event sufficiently and CVaR can measure the tail risk more sufficient than VaR, CVaR risk measurement method was introduced into capital allocation model by percentile layer, and then this paper proposed capital allocation model by percentile layer under CVaR risk measurement method and the capital allocation formula constrained by Pareto distribution, which can solve the problem of measuring the risk of the extreme event. Finally, combined with each business statistical data of PICC Anhu Branch, and using statistical analysis software Eviews8.0 and Matlab, this paper gave an example analysis of the capital allocation model by percentile layer under CVaR risk measurement method constrained by Pareto distribution, which verified the proposed models.