# CVaR度量在极值理论中的应用Application of CVaR Metric in Extreme Value Theory

DOI: 10.12677/PM.2016.62014, PDF, HTML, XML, 下载: 1,496  浏览: 3,861

Abstract: Since the last half a century, with the globalization and diversification of economy, the financial risk measurement has gradually been concerned by the financial and economic scholars. After the 1990s, the new risk management tool, VaR (value at risk) measurement method has been devel-oped gradually, which can measure risk value scientifically, accurately and comprehensively, and it is welcomed in the international financial community, but in extreme event, the accuracy of VaR is less than that of CVaR (conditional value at risk). This paper is intended to study the application of CVaR measure in extreme value theory.

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