摘要
近年来,风险值(VaR)已成为一种重要的度量市场风险的测度,但它存在一些概念上的缺陷,因此人们在VaR的基础上又提出了两种新的度量市场风险的测度:尾部条件期望(TCE)和期望损失(ES).该文运用极值理论中的POT模型和正态分布GARCH(1,1)模型比较了VaR和ES的尾部风险,结果验证了ES比VaR有更小的尾部风险.
In recent years, value-at-risk (VaR) has become an important measure used in financial risk management. However, it has several conceptual problems. Two other measures are therefore proposed: tail conditional expectation (TCE) and expected shortfall (ES). In this paper, VaR and ES are compared in terms of tail risk based on the model of peaks over threshold and the normal (GARCH (1,1)) model. It is verified that ES has less tail risk than VaR.
出处
《上海大学学报（自然科学版）》
CAS
CSCD
2004年第3期312-316,共5页
Journal of Shanghai University:Natural Science Edition
基金
国家自然科学基金 (70 1 71 0 59)资助项目
