| 基于Generalized-Hyperbolic分布的VaR和CVaR拟合实证研究 |
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| 引用本文： | 张亮亮,杨青,熊国兵.基于Generalized-Hyperbolic分布的VaR和CVaR拟合实证研究[J].郑州轻工业学院学报(自然科学版),2011(5):121-124. |
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| 作者姓名： | 张亮亮 杨青 熊国兵 |
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| 作者单位： | 光大证券风险管理部;复旦大学经济学院; |
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| 基金项目： | 国家自然科学基金项目(70702028); 上海浦江人才计划资助项目 |
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| 摘 要： | 基于Generalized-Hyperbolic分布模型,采用极大似然方法,利用中国市场数据对VaR和CVaR进行了动态拟合、实证结果以及模型的后测检验.结果表明:使用Generalized-Hyperbolic分布比使用正态分布可以有效地降低VaR计算失败的次数,且置信度越高其拟合效果越好,是一种很好的静态VaR,CVaR估计方法.
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| 关 键 词： | Generalized-Hyperbolic分布 VaR CVaR 拟合 |
An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation |
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| ZHANG Liang-liang,YANG Qing,XIONG Guo-bing .Risk Mana.Dept.,Everbright Securities,Shanghai ,China,.School of Finance,Fudan Univ.,Shanghai ,China.An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation[J].Journal of Zhengzhou Institute of Light Industry(Natural Science),2011(5):121-124. |
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| Authors: | ZHANG Liang-liang YANG Qing XIONG Guo-bing Risk ManaDept Everbright Securities Shanghai China School of Finance Fudan Univ Shanghai China |
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| Affiliation: | ZHANG Liang-liang1,YANG Qing2,XIONG Guo-bing1 1.Risk Mana.Dept.,Everbright Securities,Shanghai 200040,China,2.School of Finance,Fudan Univ.,Shanghai 200433,China) |
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| Abstract: | The VaR and CVaR model were calibrated using Chinese market data based on Generalized-Hyperbolic distribution and with maximum likelihood method,the empirical and back testing results are presented.The results showed that the introduction of G-H distribution effectivly reduced the failure rate of VaR model,and the higher the percentile,the better the fit result is.It is thus proved that G-H parametric method is a very good VaR and CVaR estimation technique. |
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| Keywords: | Generalized-Hyperbolic distribution VaR CVaR estimation |
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