非对称Laplace分布下债券组合的尾部风险计量

Tail Risk Measurement of Bond Portfolios Under the Asymmetric Laplace Distribution

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摘要本文研究了在正态分布和非对称拉普拉斯(Laplace)分布下债券投资组合尾部风险的计量方法,并利用我国上市流通债券进行了实证分析。研究结果表明,相较于正态分布,非对称Laplace分布能够更加准确地刻画投资组合尖峰厚尾及偏态分布等特征,可以更好地刻画我国债券组合收益率的尾部风险。

作者谢合亮王旭东傅鹏佳赵弘杨 Xie Heliang;Wang Xudong;Fu Pengjia;Zhao Hongyang

机构地区中国邮政储蓄银行风险管理部中国邮政储蓄银行北京分行

出处《债券》 2025年第8期86-92,共7页 CHINA BOND

关键词投资组合风险计量预期尾部损失尾部条件方差

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2025年第8期

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