| 基于VaR理论的工程造价风险研究 |
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| 引用本文： | 未红,卢磊. 基于VaR理论的工程造价风险研究[J]. 价值工程, 2009, 28(12): 89-92. DOI: 10.3969/j.issn.1006-4311.2009.12.028 |
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| 作者姓名： | 未红 卢磊 |
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| 作者单位： | [1]西安建筑科技大学,西安710055 [2]广东宏大爆破股份有限公司,广州510623 |
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| 摘 要： | 随着极值统计理论的发展,其在水文、海洋、气象、地震、金融、以及工程等可靠性领域被越来越广泛地应用。文中根据极端事件风险理论和工程造价风险分析的实际,提出了基于POT模型的一种极值分布——GPD,并利用GPD分布,得到相应的VaR(风险价值)估计值,实现对工程造价风险的度量。
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| 关 键 词： | 工程造价风险 GPD分布 风险价值(VaR) |
To Study on Risk of Project Cost Based on the VaR Theory |
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| Abstract: | With the development of the statistical theory of extreme,and it is increasingly being widely used in reliable fields,such as hydrology,oceanography,meteorology,earthquake,finance,and engineering fields. Based on the risk of extreme events and the practice of risk analysis theory of project cost,The thesis proposes an extreme distribution ——GPD based on POT model,and makes use of GPD distribution to obtaining the corresponding VaR estimates that can realize the measure for the risk of project cost. |
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| Keywords: | risk of project cost GPD distribution Value at Risk(VaR) |
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