| 极值理论在VaR和CVaR中的应用及对沪市的实证研究 |
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| 引用本文： | 刘昆仑.极值理论在VaR和CVaR中的应用及对沪市的实证研究[J].山东教育学院学报,2008,23(3):84-87. |
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| 作者姓名： | 刘昆仑 |
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| 作者单位： | 山东教育学院化学系,山东,济南,250013 |
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| 摘 要： | 本文基于极值理论利用POT模型，以上证综指为例对股市收益分布的尾部进行拟舍，算出了相应的VaR和CVaR的估计值。
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| 关 键 词： | VaR CVaR 极值理论 POT模型 广义帕累托分布 |
The Application of the Extreme Value Theory in VaR and CVaR on Shanghai Stock Market |
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| Liu Kunlun.The Application of the Extreme Value Theory in VaR and CVaR on Shanghai Stock Market[J].Journal of Shandong Education Institute,2008,23(3):84-87. |
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| Authors: | Liu Kunlun |
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| Institution: | Liu Kunlun (Department of Chemistry , Chemical Engineering,Sh,ong Institute of Education,Jinan 250013,China) |
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| Abstract: | Based on the extreme value theory,with the peak over threshold,this paper conducts fitted detection to the fat-tail distribution of market return in Shanghai Securities Exchange and analyzes VaR and CVaR on Shanghai stock market.And we give two mixing methods of VaR. |
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| Keywords: | VaR CVaR extreme value theory POT GPD student t-distribution |
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