DocumentCode
3413529
Title
Study of Financial Risk Based on EVT
Author
Li, Feng ; Quan, Qizhe
Author_Institution
Software Coll., Shenyang Normal Univ., Shenyang, China
Volume
3
fYear
2009
fDate
12-14 Aug. 2009
Firstpage
179
Lastpage
182
Abstract
On the assumption that traditional research methods adopts normal distribution which leads to the VaR estimation deviation. This paper utilizes POT model of extreme value theory, and GPD distribution which can give more accurate description on tail distribution of benefits of financial products. Comparing with traditional research methods, extreme theory can make fully use of historical data, and overcome shortcomings of traditional methods in computing high reliability VaR.
Keywords
Pareto distribution; finance; normal distribution; risk management; EVT; GPD distribution; POT model; VaR estimation deviation; extreme value theory; financial risk management; generalized Pareto distribution; normal distribution; peak-over-threshold model; tail distribution; Distribution functions; Educational institutions; Gaussian distribution; Hybrid intelligent systems; Investments; Life estimation; Probability distribution; Random variables; Reactive power; Reliability theory; POT; VaR; extreme value theory; generalized Pareto distribution;
fLanguage
English
Publisher
ieee
Conference_Titel
Hybrid Intelligent Systems, 2009. HIS '09. Ninth International Conference on
Conference_Location
Shenyang
Print_ISBN
978-0-7695-3745-0
Type
conf
DOI
10.1109/HIS.2009.249
Filename
5254560
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