| 平稳序列的POT模型及其在汇率风险价值中的应用 |
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| 引用本文： | 高松,李琳,史道济.平稳序列的POT模型及其在汇率风险价值中的应用[J].系统工程,2004,22(6):49-53. |
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| 作者姓名： | 高松 李琳 史道济 |
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| 作者单位： | 天津大学,理学院,南开大学-天津大学刘徽应用数学中心,天津,300072 |
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| 基金项目： | 南开大学-天津大学刘徽应用数学中心资助项目(T08) |
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| 摘 要： | 经典的极值模型要求数据是独立同分布的，本文考虑平稳序列，引入极值指标，并利用分串方法，建立POT模型，对VaR和CVaR进行估计，最后对日元／美元的汇率进行实证研究。通过比较发现，引入极值指标后，提高了VaR估计的精度。
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| 关 键 词： | POT模型 极值指标 风险价值 条件风险价值 |
| 文章编号： | 1001-4098(2004)06-0049-05 |
The POT Model for the Stationary Sequence and Its Application in Computing Value-at-Rrisk of Exchange Rates |
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| GAO Song,LI Lin,SHI Dao-jiSchool of Science,Tianjin University,LiuHui Center for Applied Mathematics,Tianjin University,Tianjin ,China.The POT Model for the Stationary Sequence and Its Application in Computing Value-at-Rrisk of Exchange Rates[J].Systems Engineering,2004,22(6):49-53. |
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| Authors: | GAO Song LI Lin SHI Dao-jiSchool of Science Tianjin University LiuHui Center for Applied Mathematics Tianjin University Tianjin China |
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| Institution: | GAO Song,LI Lin,SHI Dao-jiSchool of Science,Tianjin University,LiuHui Center for Applied Mathematics,Tianjin University,Tianjin 300072,China) |
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| Abstract: | The classic extreme value theory requests that sequence is independent and has identical distribution. We intro- (duce) the extremal index under the assumption that the sequence is stationary, and build a POT model by using the method of declustering, then calculate the estimates of VaR and CVaR. The computation result of JPY/USD foreign exchange rate presented at last proves that the accurate for the estimations has been improved by introducing the extremal index. |
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| Keywords: | The POT Model The Extremal Index Value-at-Risk Conditional Value-at-Risk |
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