基于极值理论的金融风险研究  

Study on Financial Risk Based on EVT

作　　者：李锋[1] 刘澄[1] 

机构地区：[1]北京科技大学经济管理学院,北京100083

出　　处：《商业研究》2010年第5期115-118,共4页Commercial Research

摘　　要：运用极值理论的POT模型,并结合描述金融产品收益率的尾部分布更加精确的GPD分布,计算出了基于极值理论的风险估计。与传统方法相比,极值理论方法能更好的利用已知历史数据,并能在计算高置信度VaR时克服传统方法中误差较大的缺点。This paper calculated risk estimates based on Extreme Value Theory by utilizing POT model of extreme value theory, and GPD distribution, which can give more accurate description on tail distribution of benefits of financial prod- ucts. Compared with traditional research methods, extreme theory can make full use of historical data, and overcome shortcomings of traditional methods in computing high reliability VaR.

关 键 词：极值理论(EVT) POT 广义帕累托分布 VAR 

分 类 号：F830.9[经济管理—金融学]