极值VaR度量的一个新方法研究

A study of a new method for calculating VaR with the EVT

在险价值是度量市场风险的一种普遍使用的工具,是市场风险度量的基石。本文应用统计学中的极值理论与泊松过程于VaR的计算。这种新方法是VaR度量方法中最稳健的方法之一。

Value-at-Risk (VaR) is a commonly used tool to measure market risk,and also the benchmark in risk management. This paper applies the extreme value theory and passion process on calculation. This new method is a robust tool to forecast quantities,which is practical to implement and regulate for VaR measurements.