VAR和ES在西部黄金股票风险测度的应用  

The Application of VAR and ES on Western Gold Share's Risk Measuring

作　　者：开璇 郑薇[1] 谢心庆 

机构地区：[1]新疆财经大学应用数学学院,新疆乌鲁木齐830012

出　　处：《贵州商业高等专科学校学报》2015年第4期1-4,共4页Journal of Guizhou Commercial College

基　　金：新疆维吾尔自治区研究生科研项目"乌鲁木齐PM2.5浓度的动态分析研究"(XGJRI2015120)

摘　　要：通过运用改进的历史模拟法(IHS)选取极值理论中POT模型阈值的方法,以西部黄金股票为例,分析其数据统计特征,计算出风险价值和最大期望损失,证实多数金融资产的收益时间序列的分布具有厚尾性,因此在极端情况下要加强对风险的监管。By taking western gold share as an example and selecting the threshold value of POT model in Extreme Value Theory through using the method of improved historical simulation（ IHS）, it analyzes the statistic characteristics of data, calculates the share＇ s value at risk and expected shortfall. The result reaffirms that the time series distribution of the profit of most financial assets carries the feature of resistance. Therefore, we should strengthen the supervision of risk under extreme circumstance.

关 键 词：VAR ES 极值理论 POT模型 改进历史模拟法 阈值 

分 类 号：F830.9[经济管理—金融学]