金融数据极端风险度量及应用-技术经济及管理专业论文.docxVIP

重庆大学 重庆大学硕士学位论文 英文摘要 PAGE PAGE IV artical then presents an empirical analysis to the Shanghai Composite Index between 1996-2013 daily returns series. The results show that the two models both have very good effect and high accuracy to fit the return on assets in financial market, and they can reflect the data’s heavy tail features as well. Finally, we summarize the defects of this thesis and put forward the research directions in the future. Key words: VaR, ES, Generalized extreme value distribution, Generalized Pareto distribution, Poisson-GP compound over-threshold distribution 重庆大学硕 重庆大学