A Semi-Parametric Method for Estimating Value at Risk

机译：一种估算风险价值的半参数方法

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In risk management, the VaR methodology as a measure of market risk has gained fast acceptance and popularity in both institutions and regulators. We propose a semi-parametric method for estimating Value at Risk (VaR). Our approach combines HS method to estimate the interior and the extreme value theory to estimate the tails. This approach is backtested for financial data at different confidence level. The results of the backtesting indicate that our approach is an adequate risk measure.

机译：在风险管理中，VAR方法作为市场风险的衡量标准，在机构和监管机构中获得了快速的接受和普及。我们提出了一种半参数方法，用于估算风险（VAR）的价值。我们的方法结合了HS方法来估计内部和极值理论来估计尾部。这种方法被击退了不同置信水平的财务数据。逆退的结果表明我们的方法是充分的风险措施。

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《International conference on information technology and industrial engineering》|2010年||共5页
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Zhang xiangxian;
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正文语种
中图分类信息与知识传播;
关键词
VaR; HS; The extreme value theory; Semi-Parametric Method;

机译：var;hs;极值理论;半参数法;

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A Semi-Parametric Method for Estimating Value at Risk

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