VaR Model Based on Extreme Value Theory and Risk Management Research An empirical analysis based on Chinese stock market

被引：0

作者：

Yang Jie ^{[1
]}

Zhang Shaozong ^{[2
]}

Li Yan ^{[1
]}

机构：

[1] Yunnan Normal Univ, Sch Econ & Management, Kunming, Peoples R China

[2] Yunnan Normal Univ, Sch Math Sci, \ Kunming, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

Extreme Value Theory; VaR Model; Empirical Study; Risk Management;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Empirical studies show that the key of financial risk management is on the prevention of strong destruction by extreme events. Traditional VaR model is generally assumed that the log-returns of the portfolio distribute as the normal distribution, but the financial time series has the characteristics of the high peak and fat tail, which makes VaR model based on the normal distribution usually underestimated the risks. On the basis of fat tailed VaR model of Extreme Value Theory, we carried out a comparative study of empirical analysis of Shanghai Composite Index and Shenzhen Component Index.

引用

页码：3678 / +

页数：2