基于Asymmetric Laplace分布的金融风险度量

Abstract

Abstract: The actual distribution of asset returns possesses the characters of steep peaks, heavy tails and asymmetry, in this paper, asymmetric laplace distribution is used to fit the data of asset returns and described these features. Then, AL parametric method and AL-MC method are employed to measure VaR and CVaR. The Shanghai Composite Index, Nikkei225 Stock Index and S&P500 Index are selected in the calculation of VaR and CVaR considering actual stocks risk features. Also, the back testing and accuracy assessment of risk are given. The results show that the risk measurement model based on Asymmetric Laplace distribution is reasonable and applicable and can effectively estimated the market risk.

Key words: value at risk, conditional value at risk, asymmetric laplace distribution, risk management

CLC Number:

F830.9

DU Hong-jun, WANG Zong-jun. Financial Risk Measurement Based on Asymmetric Laplace Distribution[J]. Chinese Journal of Management Science, 2013, 21(4): 1-7.

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Financial Risk Measurement Based on Asymmetric Laplace Distribution

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