A New Method for Estimating Value at Risk with EVT and HS

摘要：

During the past decade,Value at Risk (VaR) has become one of most commonly used Tools in risk measurement.In this paper.We propose a new method for estimating VaR.Our approach combines IIS method to estimate the interior and the extreme value theory to estimate the tails.This paper uses a sample of the returns of S&P 500 daily closing index to test the performance of our VaR procedure.This approach is also backtested for financial data at different confidence level.The results of the backtesting indicate that the new approach is an adequate risk measure.

关键词： VaR HS The extreme value theory Backtesting

作者: Wang xiaoping Zhang xiangxian Qu hongjian

作者单位: Donghua University Shanghai,P.R China Institute of Management Science & Engineering.HeNan University HeNan,P.R China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 283-287

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）