基于广义帕累托分布的汇率风险分析

Risk Analysis on Exchange Rates Based on Generated Pareto Distribution

外汇市场的汇率一直是金融市场管理的重大主题,市场风险测度及其预控是管理好风险的必要手段.选择2002年5月1日至2017年5月1日人民币/美元汇率的3912个历史数据,基于GPD和POT模型,探讨了汇率的风险度量指标VaR,并引入了ES作为VaR的补充.进一步通过尾部分位数对人民币汇率的潜在风险进行度量和预测,为决策者提供了一定的风险量化途径,并对金融市场的风险管理提供对应策略.

Exchange rate in foreign exchange market has always been a major theme of financial market management,and market risk measurement and its pre-control are the necessary means to manage risk well.Based on the GPD(generalized Pareto distribution)and peak over threshold(peak over threshold)model,this paper selects 3912 historical data of RMB/US dollar exchange rate from May 1,2002 to May 1,2017 to explore the exchange rate risk metric VaR(Value of risk),and introduce ES(expected shortfall)as a complement to VaR.Furthermore,the potential risk of RMB exchange rate is measured and predicted by the tail digit,which provides some quantitative risk indicators for decision makers to propose the corresponding strategies for risk management of financial markets.