作 者: ;
机构地区: 华侨大学经济与金融学院
出 处: 《数学的实践与认识》 2010年第3期35-42,共8页
摘 要: 极值风险,即稀少或极端事件的发生给经济主体带来巨额损失的风险是风险管理的重中之重.极值理论为极端事件的统计建模和极值风险测度的计算提供了坚实的理论基础,通过介绍和比较传统极值事件的建模,然后基于点过程拓展了POT模型(POT-PP),并利用外汇市场的日数据分析了POT-PP的拟合效果. Extreme risk, which is the risk brought by rare or extreme events, is a focus of risk management. Extreme theory supplies with substantial fundamentals to statistical modeling and risk measure of extreme events. This paper introduces and compares traditional modeling of extreme events, then extends POT model basing on point process and analyses the simulation effects using the daily data of foreign exchange market in China.