Study of Financial Risk Based on EVT

摘要：

On the assumption that traditional research methods adopts normal distribution which leads to the VaR estimation deviation. This paper utilizes POT model of extreme value theory, and GPD distribution which can give more accurate description on tail distribution of benefits of financial products. Comparing with traditional research methods, extreme theory can make fully use of historical data, and overcome shortcomings of traditional methods in computing high reliability VaR.

关键词： extreme value theory POT generalized Pareto distribution VaR

作者: Feng Li Qizhe Quan

作者单位: Software College Shenyang Normal University Shenyang, China, 110034

会议类型: 国际会议

会议名称: 2009 Ninth International Conference on Hybrid Intelligent Systems(第九届混合智能系统国际会议 HIS 2009)

会议地点: 沈阳

会议语种:英文

页码: 1-4

在线出版日期: 2009-08-12（万方平台首次上网日期，不代表论文的发表时间）