期刊论文、会议论文

Li, Xuchao

英文

Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

2012

186-190

International Conference on Business Intelligence and Financial Engineering

2012 Fifth international conference on business Intelligence and financial engineering

2012-08-18

Lanzhou, Gansu, China

[Li, Xuchao;Zheng, Chengli] Cent China Normal Univ, Sch Econ, Wuhan 430079, Peoples R China.

Natl Nat Sci Fdn, Chinese Acad Sci (CAS), Chinese Acad Sci (CAS), Acad Math & Syst Sci, City Univ Hong Kong, Coll Business, Beijing Univ Chem Technol, Sch Econ & Management, Chinese Acad Sci (CAS), Ctr Forecasting Sci (CEFS), Chinese Acad Sci (CAS), Key Lab Management, Decis & Informat Syst (MADIS), Changsha Univ Sci & Technol, Sch Econ & Management, Beijing Univ Chem Technol, Ctr Energy Chem Management, Beijing Zhongke Markway Educ Technol Ctr, Syst Engn Soc China, Beijing Operat Res Soc, Int Inst Decis Sci (IIDS), Syst Engn Soc China, Tech Comm Energy Chem Syst Engn, Operat Res Soc China, Tech Comm Decis Sci, Chinese Soc Management Modernizat, Tech Comm Management Sci & Engn, Syst Engn Soc China, Tech Comm Financial Syst Engn, Chinese Soc Management Modernizat, Tech Comm Business Intelligence, Chinese Soc Optimizat, Youth Branch, Overall Planning & Econ Math

Yu, L Zhang, G Wang, S

345 E 47TH ST, NEW YORK, NY 10017 USA

IEEE

978-0-7695-4750-3; 978-1-4673-2092-4

10.1109/BIFE.2012.47

本校为第一且通讯机构

To model Chinese ownership-thematic investment, EVT (Extreme Value Theory) is applied in this paper with examples of three typical stock indexes. To characterize the distribution of the selected indexes, POT (Peaks Over Threshold) model is utilized to fit the tails of the distributions. Then VaR and CVaR are computed through the estimated parameters. Empirical results shows that POT model can fit tails of return rates of the indexes quite well; VaR are valid at high confidence levels such as 99% and 95% based on LR test but not at lower levels like 90%; with respect to CVaR, SSE Local State-ow...