极值理论(EVT)方法用于受险价值(VaR)计算的实证比较与分析

讨论了根据极值理论 ( EVT)计算受险价值 ( Va R)的两类不同的方法 :基于矩估计的“两次子样试算法”和极大似然估计法 ,并给出了各自理论推导过程和计算步骤 .同时 ,把这两类方法与正态分布和经验分布的结果进行了比较 .应用四种汇率历史数据进行的实证计算表明 ,在极端条件下 ,用极值理论方法估计 Va R具有很高的准确性 ,而矩估计法的结果又优于极大似然估计法 .

Empirical Analysis of Value

The paper investigates methods of Va R estimation using Extreme Value Theory( EVT) .It compares two different estimation methods," two step subsample bootstrap" based on moment estimation and Maximum L ikelihood Estimation( ML E) , according to their theoretical basis and computation procedures. Then,the estimation results are analysed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating...