vg模型下ar、cvar风险值及价值评估.pdfVIP

:VG VaR CVaR VG VaR CVaR : : : : : 2007 . , . . , , , . 1990 ,Madan Seneta[32] Variance Gamma (VG ), . VG : , Gamma ; , , Variance Gamma , VG . , . , Madan Seneta[32] VG . 1991 Madan Milne[41] , VG , [39] Madan Milne , . , Madan Carr Chang[33] VG , ,Jinping Yu,Xiaofeng Yang, Shenghong Li[40] . , VG c, VG , . VG , VaR CVaR, Copula VaR CVaR, , VG , , ; Variance Gamma Black Scholes , . Variance Gamma , VaRCVaR, . I VaR CVaR and Value Evaluation under the Modle of VG Postgraduate: Tang Hongling Supervisor: Yang Shanchao Specialty: Probability theory Mathematical Statistics Research Fields: Financial Statistics Grade: 2007 Abstract Financial risk is a certain amount of financial assets in future periods possibility of loss in expected income.The financial risks’exsisting is an important feature of modern finance markets,and any kind of economic entities that related with financial activities are facing financial risks. Financial risk management is the people through the implementation of a series of policies and measures to control financial risk in order to eliminate or reduce the adverse effects of behavior.The basis of market risk management and the key are the measurement of risk.In order to accurately measure the risk,it is necessary to fully consider the issue of return rate distribution. In fact the distribution of financial reward series o