| 基于EGARCH-CVaR方法的保险资金直接入市风险分析——以吉林省为例 |
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| 引用本文： | 舒金兰,李加明. 基于EGARCH-CVaR方法的保险资金直接入市风险分析——以吉林省为例[J]. 吉林金融研究, 2012, 0(9): 12-16 |
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| 作者姓名： | 舒金兰 李加明 |
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| 作者单位： | 安徽财经大学金融学院,安徽蚌埠233030 |
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| 摘 要： | 本文基于EGARCH模型和GED分布下的CVaR模型对保险资金直接入市的风险进行度量,实证测算了八只股票的个股及投资组合的绝对CVaR值和相对CVaR值,描述了各自的极端损失状况;金融机构可以根据个股值和组合值,设置风险资本或提取风险准备金,从而有效地监控潜在的极端损失。
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| 关 键 词： | EGARCH CVaR 保险投资 |
The Analysis of Risk on Insurance Funds Investing in the stock market Based on EGARCH-CVaR Method |
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| Shu Jinlan Li Jiaming. The Analysis of Risk on Insurance Funds Investing in the stock market Based on EGARCH-CVaR Method[J]. Jilin Finance Research, 2012, 0(9): 12-16 |
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| Authors: | Shu Jinlan Li Jiaming |
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| Affiliation: | Shu Jinlan Li Jiaming |
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| Abstract: | This article measures the risk of the insurance funds investing in the stock market based on the EGARCH- CVaR model and GED distribution.The empirical process estimates absolute CVaR value and relative CVaR value of eight shares and portfolio, describing the extreme loss of status; According to the CVaR value of single stock and portfolio, financial institutions set up venture capital or extract the risk reserve, in order to monitor the potential extreme losses effectively. |
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| Keywords: | EGARCH CVaR Insurance Investment |
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