| 基于极值理论的资产组合风险研究 |
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| 引用本文： | 刘强,阎春宁,孟莹.基于极值理论的资产组合风险研究[J].价值工程,2004,23(9):109-112. |
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| 作者姓名： | 刘强 阎春宁 孟莹 |
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| 作者单位： | 上海大学国际工商与管理学院 上海201800
(刘强，阎春宁)，上海大学国际工商与管理学院 上海201800(孟莹) |
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| 基金项目： | 国家自然科学基金资助项目(项目编号70171059) |
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| 摘 要： | 在金融系统中风险管理者十分关注投资风险的大小,尤其是在极端情况下的风险大小。市场风险值()是一种常用的度量风险的方法。本文将极值理论用于中国上证指数和深成指数市场风险值的度量,同时探讨了用极值理论评价资产组合风险的方法,并将其计算结果与基于正态分布同t分布的方法进行比较,发现采用极值理论度量市场风险值要优于经典的方法。
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| 关 键 词： | 市场风险值 极值理论 资产组合 厚尾 |
Study for Portfolio Risk Based on Extreme Value Theory |
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| Liu qiang,Yan Chunning,Meng Ying.Study for Portfolio Risk Based on Extreme Value Theory[J].Value Engineering,2004,23(9):109-112. |
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| Authors: | Liu qiang Yan Chunning Meng Ying |
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| Abstract: | Financial Risk,especially under the extreme condition,is focused by ad ministrant in the finance system.Value-at-risk is a commonly used tool to measure risk.In t his paper the extreme value theory is applied to measure market risk and a metho dology is proposed to estimate portfolio risk.Finally,VaR calculation of extreme distribution is compared with that of the other methodologies,such as based on normal distribution or student t-distribution.The statistical test indicates tha t the effect of this method is better than others. |
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| Keywords: | Value-at-Risk(VaR) extreme value theory portfolios heavy tail |
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