标题:
CVaR度量在极值理论中的应用Application of CVaR Metric in Extreme Value Theory
作者:
姚竟, 李永明
关键字:
极值理论, VaR, CVaRExtreme Value Theory, VaR, CVaR
期刊名称:
《Pure Mathematics》, Vol.6 No.2, 2016-03-16
摘要:
近半个世纪以来，随着经济的全球化和多元化，金融风险的度量逐渐受到金融界以及经济学者的关注。90年代后，新型风险管理工具VaR(在险价值)测量方法逐步发展起来，以它能够科学、准确、综合的度量风险值而倍受国际金融界的青睐。但在极端事件发生期，VaR的度量准确性不如CVaR(条件在险价值)。本文意在研究CVaR度量在极值理论上的应用。
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.