| 基于Bootstrap仿真的广义Pareto现金流风险分析 |
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| 引用本文： | 刘金霞,韩立岩.基于Bootstrap仿真的广义Pareto现金流风险分析[J].北京理工大学学报,2010,30(3):374-378. |
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| 作者姓名： | 刘金霞 韩立岩 |
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| 作者单位： | 北京航空航天大学,经济管理学院,北京,100191;北京航空航天大学,经济管理学院,北京,100191 |
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| 基金项目： | 国家教育部高等学校博士学科点专项科研基金资助课题(20050006025);;国家自然科学基金资助项目(70521001) |
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| 摘 要： | 建立了基于Bootstrap仿真的广义Pareto经营现金流风险(CFaR)模型,在广义Pareto分布的框架下运用基于Bootstrap仿真得到现金流风险价值,以克服广义Pareto分布的小样本造成的估计误差,提高分析的可信度,并改进了广义Pareto模型的不足.将该模型用于中国房地产上市公司现金流风险价值估计,得到了满意的结果.
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| 关 键 词： | Bootstrap仿真 广义Pareto分布 现金流风险 |
| 收稿时间： | 2009/6/20 0:00:00 |
Cash Flow at Risk Based on Bootstrap Simulating and Generalized Pareto Distribution |
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| LIU Jin-xia and HAN Li-yan.Cash Flow at Risk Based on Bootstrap Simulating and Generalized Pareto Distribution[J].Journal of Beijing Institute of Technology(Natural Science Edition),2010,30(3):374-378. |
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| Authors: | LIU Jin-xia and HAN Li-yan |
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| Institution: | School of Economics and Management;Beihang University;Beijing 100191;China |
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| Abstract: | Discusses the nonparametric Bootstrap simulation and the generalized Pareto distribution(GPD),and combined the two methods to model the cash flow at risk(CFaR).The GPD method based on bootstrap simulation overcomes the defects of GPD,improves the precision,and is applied to estimate the operating CFaR of the real estate listed companies of China.The results prove that the model is effective for CFaR evaluation. |
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| Keywords: | Bootstrap simulating generalized Pareto distribution cash flow at risk |
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