| CVaR的鞍点解析式及其在CreditRisk+框架下的应用 |
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| 引用本文： | 林清泉,张建龙.CVaR的鞍点解析式及其在CreditRisk+框架下的应用[J].系统工程,2008,26(2):25-30. |
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| 作者姓名： | 林清泉 张建龙 |
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| 作者单位： | 中国人民大学,财政金融学院,北京,100872 |
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| 摘 要： | CVaR是满足一致性的风险度量指标,它测度了超出VaR部分的条件期望.本文在Daniels(1987)基础上,独立导出CVaR的鞍点解析式.利用真实CVaR值已知的伽玛分布和贝塔分布做检验,结果表明CVaR鞍点解析式是CVaR的稳健近似.此外,本文还探索了该方法在风险管理中的应用,所推出的解析式可应用于CreditRisk 框架下损失分布CVaR的计算.
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| 关 键 词： | 鞍点近似 一致性风险度量 CVaR 期望短缺 CVaR 鞍点 解析式 CreditRisk 框架 应用 Application Analytic 计算 损失分布 风险管理 方法 近似 结果 检验 贝塔分布 伽玛分布 利用 条件期望 测度 |
| 文章编号： | 1001-4098(2008)02-0025-06 |
| 修稿时间： | 2007年11月24 |
The Saddlepoint Analytic of CVaR and Its Application in CreditRisk+ Model |
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| LIN Qing-quan,ZHANG Jian-long.The Saddlepoint Analytic of CVaR and Its Application in CreditRisk+ Model[J].Systems Engineering,2008,26(2):25-30. |
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| Authors: | LIN Qing-quan ZHANG Jian-long |
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| Institution: | LIN Qing-quan,ZHANG Jian-long(School of Financial , Banking,Chinese People\'s University,Beijing 100872,China) |
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| Abstract: | CVaR is a coherent risk measure and quantifies the conditional mean beyond VaR.We independently derive the analytic of CVaR using saddlepoint approximation technique referred to Daniels(1987).Gamma distribution and Beta distribution,whose CVaRs are known,are tested,and the results show that the analytic of CVaR based on saddlepoint can accurately and stably approximate the real CVaRs.Otherwise,new applications are explored in risk management.Under the framework of CreditRisk+ issued by CSFB,the analytic we ... |
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| Keywords: | Saddlepoint Approximation Coherent Risk Measure Conditional Value-at-Risk Expected Shortfall |
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