application of cvar metric in extreme value theory cvar度量在极 ....pdf

Pure Mathematics 理论数学, 2016, 6(2), 95-102 Published Online March 2016 in Hans. /journal/pm /10.12677/pm.2016.62014 Application of CVaR Metric in Extreme Value Theory 1 2 Jing Yao , Yongming Li 1 Department of Mathematics, Guangxi Normal University, Nanning Guangxi 2 Department of Mathematics, Shangrao Normal College, Shangrao Jiangxi th th th Received: Feb. 27 , 2016; accepted: Mar. 9 , 2016; published: Mar. 16 , 2016 Copyright © 2016 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract Since the last half a century, with the globalization and diversification of economy, the financial risk measurement has gradually been concerned by the financial and economic scholars. After the 1990s, the new risk management tool, VaR (value at risk) measurement method has been devel- oped gradually, which can measure risk value scientifically, accurately and comprehensively, and it is welcomed in the international financial community, but in extreme event, the accuracy of VaR is less than that of CVaR (conditional value at risk). This paper is intended to study the application of CVaR measure in extreme value theory. Keywords Extreme Value Theory, VaR, CVaR CVaR度量在极值理论中的应用 1 2 姚 竟 ，李永明 1广西师范学院数学科学学院，广西 南宁 2上饶师范学院数学系，江西 上饶 收稿日期：2016年2月27 日；录用日期：2016年3月9 日；发布日期：2016年3月16 日 文章引用:姚竟, 李永明. CVaR 度量在极值理论中的应用[J]. 理论数学, 2016, 6(2): 95-102 /10.12677/pm.2016.62014 姚竟，李永明 摘 要 近半个世纪以来，随着经济的全球化和多元化，金融风险的度量逐渐受到金融界以及经济学者的关注。 90年代后，新型风险管理工具VaR(在险价值)测量方法逐步发展起来，以它能够科学、准确、