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引入VaR和ES的极值理论对BRENT原油现货市场的价格风险进行研究,运用变点理论对传统Hill估计方法的阈值选择进行了改进,定量选取阈值,相应降低了因主观判断失误引致的阈值选取误差。针对GPD模型要求金融时序服从独立同分布条件,引入两种方法来消除超阈值的局部相关性:一是结合GPD模型与极值指标;二是基于BRENT收益率序列采用SV-t模型进行过滤处理,建立起度量BRENT市场波动风险的动态VaR和ES模型。实证结果表明:针对BRENT市场极端风险,结合变点分析和极值指标构建的改进型阈值定量模型在风险测度方面具有有效性和精确性。相应地,构建的动态SV-t-GPD模型在测度BRENT极端风险方面具有稳健性。
This paper introduces the extreme value theory of VaR and ES to study the price risk of BRENT crude oil spot market. By using the change point theory, the threshold selection of traditional Hill estimation method is improved. The threshold value is selected quantitatively, which reduces the threshold selection caused by subjective judgment error error. According to GPD model, the financial time-series obeys independent and identically distributed conditions, and two methods are introduced to eliminate the local correlation of over-threshold: one is to combine the GPD model with the extremum index; the other is to filter using the SVT model based on the BRENT yield series , Set up a dynamic VaR and ES model that measures the risk of BRENT market volatility. The empirical results show that the improved threshold-based quantitative model for BRENT market extreme risk, combined with change-point analysis and extreme value indicators, has the validity and accuracy in risk measure. Accordingly, the constructed dynamic SV-t-GPD model is robust in measuring BRENT extreme risks.