Comparison Research of Extreme Risk Measurement Applying to Equity, Treasury and Corporate Bond of China

摘要：

It is well known that finance data tends to heavytailed. In this paper, on a basis of an exponential regression model for log-spacings we propose an extreme quantile estimator of heavy-tailed distribution and attain an estimation of value-atrisk (VaR). Then, we consider a VaR calculations and comparison research for equity, treasury and corporate bond index of China.

关键词： heavy-tailed distribution VaR extreme quantile.

作者: Hui Ou

作者单位: College of Mathematics & Computer Science, Hunan Normal University, Changsha, 410081

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 513-516

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）