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| 摘要: |
| 本文研究了基于极值分布理论的WVaR度量方法在金融风险度量中的应用.采用广义Pareto模型的WVaR方法，对上证综合指数、深证成分指数、标准普尔指数、纳斯达克指数进行了风险度量研究.实证分析结果表明，对比于其他没有考虑投资者风险偏好的度量方法，含有投资者风险偏好的WVaR更能准确地度量金融市场的风险情况.在同一市场环境下，风险值相差不大，存在共动性，国内新兴市场风险值比国外相对发达稳定市场的风险值要大. |
| 关键词: 极值理论 在险价值 CVaR WVaR 风险函数 |
| DOI： |
| 分类号:O211.3 |
| 基金项目:国家自然科学基金资助（11371284）. |
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| WVaR MEASURING MODELS BASED ON EXTREME VALUE THEORY AND EMPIRICAL STUDIES |
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LUO Kui,CHEN Guan-wu,HU Yi-jun
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| Abstract: |
| In this paper, we study the application of WVaR measurement based on extreme value distribution in financial risk measurement. The WVaR method is used to study the risk measurement of Shanghai composite index, Shenzhen component index, S & P index and Nasdaq index based on the POT model of extreme value theory. The empirical results show that WVaR, which considers the risk aversion of investors, can measure the actual risk of financial market more accurately than the method that ignores investors' risk preference. In the same market, the risk value is similar. The risk value of domestic emerging market is greater than the value of foreign developed market. |
| Key words: extreme value theory value at risk CVaR WVaR risk function |
