Study of Financial Risk Based on EVT

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. Com...

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Bibliographic Details
Main Authors: Feng Li, Qizhe Quan
Format: Conference Proceeding
Language:English
Subjects:
Distribution functions
Educational institutions
extreme value theory
Gaussian distribution
generalized Pareto distribution
Hybrid intelligent systems
Investments
Life estimation
POT
Probability distribution
Random variables
Reactive power
Reliability theory
VaR
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Summary: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.
DOI:10.1109/HIS.2009.249