| 风险值VaR和尾部条件期望TCE的实证比较分析 |
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| 引用本文： | 王苹,翟富菊.风险值VaR和尾部条件期望TCE的实证比较分析[J].科学技术与工程,2009,9(20). |
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| 作者姓名： | 王苹 翟富菊 |
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| 作者单位： | 青岛科技大学数理学院,青岛,266042 |
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| 摘 要： | 由于风险值VaR具有一定局限性,因此人们在VaR的基础上又提出了一种新的度量市场风险的方法:尾部条件期望TCE.利用GED分布和T分布的TGARCH-M模型建立计算公式,并实证比较了VaR和TCE度量市场风险的准确性,结果表明,在通常情况下TCE和VaR均能较准确地度量市场风险.
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| 关 键 词： | 风险值 尾部条件期望 模型 GED分布 准确性 |
| 收稿时间： | 6/22/2009 1:08:09 PM |
| 修稿时间： | 7/7/2009 1:25:58 PM |
Comparative analysis of Value-at-Risk(VaR) and tail conditional expectation(TCE) in application |
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| wangping and zhaifuju.Comparative analysis of Value-at-Risk(VaR) and tail conditional expectation(TCE) in application[J].Science Technology and Engineering,2009,9(20). |
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| Authors: | wangping and zhaifuju |
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| Institution: | School of Mathematics and Physics, Qingdao Unniversity of Science and Technology |
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| Abstract: | Because of the disadvantage of the VaR model, a new measure is proposed: tail conditional expectation(TCE). In this paper, VaR and TCE are compared in accuracy based on several formulae of TGARCH-M model with GED distribution and T distribution. The indicates that TCE and VaR all can usually measure financial risk accurately. |
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| Keywords: | TGARCH-M |
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