基于POT方法汇率市场极端风险度量  

The Extreme Risk Measurement Based on POT Method of Exchange Rate Market

作　　者：吴慧慧 

机构地区：[1]岭南师范学院数学与计算科学学院,广东湛江524048

出　　处：《岭南师范学院学报》2017年第3期146-155,共10页Journal of Lingnan Normal University

基　　金：岭南师范学院校级自然科学青年项目(QL1409)

摘　　要：人民币汇率收益率具有厚尾和偏态特征,论文采用POT方法的GDP分布较好的拟合了人民币汇率收益率的这一特征.相比于传统的基于正态分布的VAR模型,基于POT方法的VAR模型可有效的捕捉人民币外汇市场的极端风险,且CVAR指标在进行风险测度时更具有稳定性.The return of RMB exchange rate had the characteristics of thick tail and sper adopted GDP distribution perfectly fit the characteristics of the RMB exchange rate return. Compared to the traditional VAR model based on the normal distribution, the VAR model based on POT method can effectively capture the extreme risk of the RMB exchange market？ and the index of CVaR is more stable in risk measure.

关 键 词：人民币汇率收益率 POT方法 风险价值 条件风险价值 有效性检验 

分 类 号：F832[经济管理—金融学]