Research on Extreme Risk of Stock Market based on POT Model

摘要：

To remedy the shortcomings of VaR model under the assumption that the sequence is normally distributed,this paper employs POT model to empirically estimate extreme risk of Shanghai stock market.The results show that POT model is effective to study sequences with fat tail.At the same time,the raising limit restrains the heterogeneity of extreme values,which results in a phenomenon that VaR model overestimate the extreme risk compared to POT model.In such circumstances,POT model is more effective than VaR model under normal distribution,then CVaRPOT is an effective indicator to reflect the nature of extreme risk instead of VaRPOT.

关键词： POT model GPD VaR

作者: Yong-jun Hua Zong-yi Zhang Jun Wu

作者单位: College of Economics and Business Administration,Chongqing University Chongqing 400044;School of Bus College of Economics and Business Administration,Chongqing University Chongqing 400044

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 393-400

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）