| 基于门限分位点回归的条件VaR风险度量 |
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| 引用本文： | 余力,张勇,李国勇.基于门限分位点回归的条件VaR风险度量[J].经济问题,2010(4). |
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| 作者姓名： | 余力 张勇 李国勇 |
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| 作者单位： | 西安交通大学经济与金融学院; |
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| 基金项目： | 西安交通大学“985”工程二期建设项目(07200701)的阶段性成果 |
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| 摘 要： | 门限分位点回归模型是线性分位点回归模型的改进,是一种更加客观实际的非线性估计方法。利用该模型实证分析了单只股票(民生银行)的条件VaR。选择一种流动性风险指标作为条件,经过分析发现,由门限分位点回归模型得到结果能够更好地描述市场,也能更好地预测市场风险。
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| 关 键 词： | 门限分位点回归模型 分位点回归模型 条件CVaR |
Computing Conditional VaR Based on Threshold Quantile Regression |
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| YU Li,ZHANG Yong,LI Guo-yong.Computing Conditional VaR Based on Threshold Quantile Regression[J].On Economic Problems,2010(4). |
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| Authors: | YU Li ZHANG Yong LI Guo-yong |
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| Institution: | The School of Economic and Finance of Xi'an Jiaotong University;Xi'an 710061;China |
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| Abstract: | In this paper,the threshold quantile regression model is presented,which is revised model of the linear quantile regression,which can not suit practical demand.an empirical analysis on Minsheng Bank stock based on this model is given.and a liquidity risk measure is picked as the condition variable.By the analysis,the result obtained based on threshold quantile regression model can describe the practical market better,and forecast the market risk better. |
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| Keywords: | threshold quantile regression model CVaR quantile regression model |
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