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金融资产的损益分布具有明显尖峰肥尾和不对称等特征,本文采用非对称拉普拉斯分布来刻画这些风险特征,给出了市场风险VaR和CVaR度量的AL参数法和AL-MC法。选取上证指数、日经225指数及S&P500指数为研究对象,结合各股市的风险特征,给出了VaR和CVaR度量及其返回检验和准确性评价。结果表明,基于AL分布的风险度量模型具有其合理性和适用性,能很好地度量市场风险。
The distribution of profit and loss of financial assets has the characteristics of obvious peak fat tail and asymmetry. In this paper, asymmetric Laplacian distribution is used to characterize these risk characteristics. The AL parameter method and AL-MC method are given for VaR and CVaR measures of market risk. Taking the Shanghai Composite Index, Nikkei 225 Index and S & P 500 Index as the research objects, the VaR and CVaR measures, the return test and the accuracy evaluation are given based on the risk characteristics of each stock market. The results show that the risk measurement model based on AL distribution has its rationality and applicability and can measure the market risk well.