HD型VaR估计的分析.pdfVIP

HD VaR HD VaR : : : : :2006 VaR(Value at Risk) . VaR , , . VaR , . , , , , VaR , . , , . Harrell-Davis (1982) - , , . Koji Inui, Masaaki Kijima, Atsushi Kitano(2005) Harrll-Davis VaR , , Harrell-Davis , . , : ,Harrell-Davis VaR ; , Harrell-Davis . , VaR , . , Harrell-Davis . , HD VaR , , , . , , , . , , , , , VaR. 2007 1 4 2008 12 31 , , . Harrell-Davis VaR, . , . VaR, Harrell-Davis , , I Research on VaR Estimate Based on HD-estimator Postgraduate: Feng Xia Supervisor: Yang Shanchao Specialty: Probability theory Mathematical Statistics Research Fields: Financial Statistics Grade: 2006 Abstract VaR (Value at Risk) is a popular method of risk measurement at present. VaR has attracted many global banks, investment companies, securities companies and financial regulators fo