摘要
极值理论是次序统计理论的一个分支,将统计学中的极值理论用于风险的计算,是一种崭新的方法。通过极值理论计算风险价值的方法与正态分布和实际分布的VaR结果进行比较,并应用沪深股指日收益率进行的市场实证研究表明,在极端条件下,用极值方法估计的VaR值有更高的准确性。
Extreme value theory is a branch of order statistics theory.It is a new method to apply extreme value theory of statistics to calculation of risk.The empirical market research via daily return of Shenzhen and Shanghai Stock Indexes shows that the VaR based on extreme value theory is more accurate in an extreme condition,applying extreme value theory to calculate risk value and comparing VaR result of normal and actual distribution,
出处
《商业经济》
2010年第22期33-35,共3页
Business & Economy
关键词
极值理论
风险价值
广义帕累托分布
超限分布
偏离率
extreme value theory
value at risk
generalized Pareto distribution
transfinite distribution
bias ratio
