基于极值理论的VaR和ES度量——以中兴通讯数据为例

doi:10.16088/j.issn.1001-6600.2015.02.012

Journal of Guangxi Normal University(Natural Science Edition) ›› 2015, Vol. 33 ›› Issue (2): 76-81.doi: 10.16088/j.issn.1001-6600.2015.02.012

Previous Articles Next Articles

Computing VaR and ES Based on the Extreme Value Theory:A Case Study of ZTE Data

DING Xin-yue, XU Mei-ping

School of Science,Beijing Technology and Business University, Beijing 100048, China

Received:2015-01-24 Online:2015-02-10 Published:2018-09-20

Abstract

Abstract: Value at Risk (VaR)is an important measurement tool for market risk. The Block Maxima Model (BMM)and the Peak Over Threshold (POT)model are employed to compute the VaR and Expected Shortfall (ES)for ZTE return data with heavy tails respectively. A discrepancy measure is proposed to select the threshold for the POT model. The data analysis shows that applying the extreme value theory in risk measurement can fully capture information from the tail of data and obtain reasonable VaR and ES to satisfy actual needs, and the results from the POT model are more stable than the ones from BMM.

Key words: extreme value theory, value at risk, expected shortfall, block maxima model, peak over threshold model

CLC Number:

F830.91

DING Xin-yue, XU Mei-ping. Computing VaR and ES Based on the Extreme Value Theory:A Case Study of ZTE Data[J].Journal of Guangxi Normal University(Natural Science Edition), 2015, 33(2): 76-81.

References

[1] 朱国庆, 张维, 张小薇, 等. 极值理论应用研究进展评析[J]. 系统工程学报, 2001, 16(1):72-77.
[2] LONGIN F M. From value at risk to stress testing:the extreme value approach[J]. Journal of Banking & Finance, 2000, 24(7):1097-1130.
[3] 马玉林, 陈伟忠, 施红俊. 极值理论在VaR中的应用及对沪深股市的实证分析[J]. 金融教学与研究, 2003(6):25-27.
[4] 何家伟, 孙英隽, 李守成. 极值理论对测度我国股票市场风险的应用[J]. 商业经济, 2010(11):33-35.
[5] 原俊青, 张振宇, 王理同, 等. 基于极值理论的VaR度量模型及实证研究[J]. 浙江工业大学学报, 2013, 41(5):578-582.
[6] 孙志宾, 顾岚. Copula理论在金融中的应用[J]. 广西师范大学学报:自然科学版, 2004, 22(2):47-51.
[7] 周开国, 缪柏其. 应用极值理论计算在险价值(VaR):对恒生指数的实证分析[J]. 预测, 2002, 21(3):37-41.
[8] 陈守东, 孔繁利, 胡铮洋. 基于极值分布理论的VaR与ES度量[J]. 数量经济技术经济研究, 2007, 24(3):118-124.
[9] JENKINSON A F.The frequency distribution of the annual maximum (or minimum)values of meteorological elements[J]. Quarterly Journal of the Royal Meteorological Society, 1955,81(348):158-171.
[10] GNEDENKO B V. Sur la distribution limite du terme maximum d’une serie aleatoire[J]. Annuals of Mathematics, 1943, 44(3):423-453.

Metrics

Viewed

Full text

Abstract

Cited

Shared

Discussed

Comments

Recommended 0

No Suggested Reading articles found!

Computing VaR and ES Based on the Extreme Value Theory:A Case Study of ZTE Data

PDF (PC)

Abstract

Cite this article

share this article

References

Related Articles 2

Metrics

Comments

Recommended 0

[1]	ZHANG Junjian, LAI Tingyu, YANG Xiaowei. Bayesian Empirical Likelihood Estimation on VaR and ES [J]. Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(4): 38-45.
[2]	LU Siyao, XU Meiping. Research on the Risk Measurement of Stock Index Basedon Mixture-Copula and ARMA-GARCH-t Models [J]. Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(1): 93-101.