Robustness Analysis and Algorithm of Ezpected Shortfall Based on Eztreme-Value Block Minimum Model

摘要：

To measure effectively the risk of stock market, the algorithm of expected shortfall is presented by using the extreme-value block minimum method. By transforming the distribution of standardized minimal return in an interval into the distribution of ordinary minimal return, the formula of expected shortfall is derived. By simulation and statistical analysis, an appropriate interval length is found out to make this algorithm robust. The simulation results show that the robustness of value at risk and expected shortfall based on this method is very good when the interval length isnt more than 30. This algorithm measures effectively the expected shortfall of stock market.

关键词： block minimum model value at risk ezpected shortfall robustness

作者: Shide Ou Danhui Yi

作者单位: School of Statistics, Renmin University of China, Beijing, 100872, China Department of Mathematics, School of Statistics, Renmin University of China, Beijing, 100872, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 288-292

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）