| 基于广义g-h分布模型的Monte-Carlo法求CVaR |
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| 引用本文： | 王卫星,贺兴时,陈航.基于广义g-h分布模型的Monte-Carlo法求CVaR[J].佳木斯大学学报,2011,29(1):114-116. |
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| 作者姓名： | 王卫星 贺兴时 陈航 |
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| 作者单位： | 西安工程大学理学院; |
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| 摘 要： | 建立广义g-h分布模型.利用Monte-Carlo模拟估计金融变量资产的CvaR值.
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| 关 键 词： | VaR Monte Carlo方法 CVaR g-h分布 |
Calculating CVaR under Generalized g-h Distribution with Monte-Carlo Simulation |
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| WANG Wei-zing,HE Xing-shi,CHEN Hang.Calculating CVaR under Generalized g-h Distribution with Monte-Carlo Simulation[J].Journal of Jiamusi University(Natural Science Edition),2011,29(1):114-116. |
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| Authors: | WANG Wei-zing HE Xing-shi CHEN Hang |
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| Institution: | WANG Wei-xing,HE Xing-shi,CHEN Hang(School of Science,Xian Polytechnic University,Xian 710048,China) |
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| Abstract: | A model was constructed based on generalized g-h distribution and Monte Carlo simulation method to calculate CVaR. |
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| Keywords: | VaR Monte Carlo method CVaR generalized g-h distribution |
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