平稳序列的POT模型及其在汇率风险价值中的应用  

The POT Model for the Stationary Sequenceand Its Application in Computing Value-at-Rrisk of Exchange Rates

作　　者：高松[1] 李琳[1] 史道济[1] 

机构地区：[1]天津大学理学院南开大学天津大学刘徽应用数学中心,天津300072

出　　处：《系统工程》2004年第6期49-53,共5页Systems Engineering

基　　金：南开大学-天津大学刘徽应用数学中心资助项目(T08)

摘　　要：经典的极值模型要求数据是独立同分布的,本文考虑平稳序列,引入极值指标,并利用分串方法,建立POT模型,对VaR和CVaR进行估计,最后对日元/美元的汇率进行实证研究。通过比较发现,引入极值指标后,提高了VaR估计的精度。The classic extreme value theory requests that sequence is independent and has identical distribution. We intro- (duce) the extremal index under the assumption that the sequence is stationary, and build a POT model by using the method of declustering, then calculate the estimates of VaR and CVaR. The computation result of JPY/USD foreign exchange rate presented at last proves that the accurate for the estimations has been improved by introducing the extremal index.

关 键 词：POT模型 极值指标 风险价值 条件风险价值 

分 类 号：F830[经济管理—金融学]