风险值和尾部条件期望的实证比较分析  

Comparative Analysis of Value-at-risk and Tail Conditional Expectation in Application

作　　者：王苹[1] 翟富菊[1] 

机构地区：[1]青岛科技大学数理学院,青岛266042

出　　处：《科学技术与工程》2009年第20期6267-6269,共3页Science Technology and Engineering

摘　　要：由于风险值VaR具有一定局限性,因此人们在VaR的基础上又提出了一种新的度量市场风险的方法:尾部条件期望TCE。利用GED分布和T分布的TGARCH-M模型建立计算公式,并实证比较了VaR和TCE度量市场风险的准确性,结果表明,在通常情况下TCE和VaR均能较准确地度量市场风险。Because of the disadvantage of the VaR model, a new measure is proposed： tail conditional expectation（TCE）. VaR and TCE are compared in accuracy based on several formulae of TGARCH-M model with GED distribution and T distribution. The indicates that TCE and VaR all can usually measure financial risk accurately.

关 键 词：风险值 尾部条件期望 TGARCH-M模型 GED分布 准确性 

分 类 号：F832.5[经济管理—金融学] F224.0