在险风险值估计方法的比较研究英文.pdfVIP

第27 卷 第4 期 经 济 数 学 V o l. 27, N o. 4 2 0 1 0 年 1 2 月 M A T H EM A T ICS IN ECO NO M ICS Dec. 2010 Comparison Research of ValueatRisk * Estimation Methods OU H ui ( Colleg e o f M a hema ics Compu er Science, Hunan N o rmal U niversi y, Changsha, H unan 41008 1, China) Abstract I is w ell kno w n ha f inance da a ends o heav y ailed . On he basis of an ex po nen ia l re gr essio n mo del , his paper pro po sed an ex reme quan ile es ima or me hod o f heavy ailed dis r ibu ion and ob ained he es ima ion for mula of va luea risk( V aR) . T hen , he es ima ions o f valuea r isk( V aR) of he syn hesized index of Shang hai, reasury and co rpor a e bond indexes o f China w ere ob ained, and heir ex re mal r isk w as compared. Keywords heav y ailed dis r ibu ion ; V aR; ex r eme quan ile F224 ; F 830. 9 : A 1 Introduction T he end of his decade has been charac erized by significan ins abili ies in financial marke s worldw ide. T his has led o numerou s cri icisms abou he ex is ing risk managemen sys ems and mo iva ed he search for more appropria e me hodologies able o cope w i h financial disas ers. T he Valuea Risk ( V aR) w as developed in response o hese financial disas ers and ob ained an increas ing impor an role in marke risk managemen . T he VaR summarizes he wors loss over a arge horizon wi h a given level of confidence. I is a popular approach because i provides a single quan i y ha summarizes he overall ma