ρ混合序列cvar估计的渐近性质.pdfVIP

CVaR CVaR : : : : : 2007 VaR VaRVaR . VaR CVaR(Conditional Value-at-Risk) Pflug[1] (2000)CVaR CVaR: . , A. Alexandre Trindade[2] (2007)CVaR . . . , . . CVaR CVaR : (i) , ; (ii) , . I Abstract CVaR . CVaR , CVaR , , , . CVaR, CVaRCVaR . CVaR; ; ; ; II CVaR The Asymptotic Properties of CVaR Estimator under Mixing Sequences Postgraduate: Zhongde Luo Supervisor: Shanchao Yang Specialty: Probability and Statistics Research Fields: Financial Statistics Grade: 2007 Abstract VaR is a risk measure which is widely used in the financial field, and the Basel Accord requires financial institutions must to use VaR to characterize the financial risks and make the corresponding risk managements, however, the VaR there are some shortcomings in practical applicatio