极端波动情景中的压力测试和极值理论方法研究

VaR描述的是市场正常波动情况下的资产组合最大可能损失,指出了不利事件发生的概率,但没有说明不利事件发生时的实际损失到底有多大。为了测量在这些小概率极端情况下的风险,本文对当前测量极端波动情景中较为先进的情景分析、系统化压力测试和极值分析方法进行较为全面的研究。

Study on Evolvement of Stress Testing and extreme value theory Model Under E xtreme Fluctuation Scenario

VaR deals with the worst possible loss of as se t portfolio under normal market fluctuation and probability of adverse event.VaR can' t calculate the real loss when adverse event occurs.To evaluate value at r isk under these extreme condition with small probability,this paper comprehensiv ely studies on advanced scenario analysis,systematic stress testing and extreme value theory model for evaluating value at risk under extreme fluctuation scenar io.