金融资产的VaR和CVaR风险的优良估计

Abstract

Abstract: In this paper,statistical method is used to improve the estimation of value-at-risk(VaR) and conditional value-at-risk(CVaR).These methods can avoid burdensome simulation calculation or parameters estimation and improve estimation precision.This paper discusses the optimal estimation of value-at-risk and conditional value-at-risk for assets under normal distribution and gives the uniformly minimum variance unbiased estimates(UMVUE),the best linear unbiased estimates(BLUE) and the best linear invariant estimates(BLIE) of VaR and CVaR based on order statistics.Furthermore,we show the practicability and validity of these methods through empirical analysis.

Key words: VaR, CVaR, the uniformly minimum variance unbiased estimate, the best linear order statistics unbiased estimate, the best linear order statistics invariant estimate

CLC Number:

F830

LIU Xiao-mao, DU Hong-jun. Optimal Estimation of Value-at-Risk and Conditional Value-at-Risk[J]. Chinese Journal of Management Science, 2006, (5): 1-6.

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Optimal Estimation of Value-at-Risk and Conditional Value-at-Risk

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