The Application and the Simulation study of VaR in the Financial Risk Measurement
From the operation of capital markets, portfolio construction, the choice of trading strategy, to the test of theory assumption, the optimization of analysis tools, the design of monitoring system, etc., the various of methods of the financial analysis have almost infiltrated into every fields of modern economics. Among those analysis methods, the application of statistical methods in the risk management and financial projections are extremely important. What is used to measure the size of the financial risk? How to measure it reasonable? Are there any new measure methods? This paper would study Value at Risk (VaR) and do simulate calculation with Extreme Value Theory.
financial risk VaR Eztreme Value Distribution EVT GPD
Zhiping ye Mingchuan ji Fangyao yuan
Shandong university, School of Economics, Regional Economics The Institution of Sustainable Development of Agriculture of Shandong Province
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）