ZHANG Liang-liang, YANG Qing and XIONG Guo-bing. An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation[J]. Journal of Light Industry, 2011, 26(5): 121-124. doi: 10.3969/j.issn.1004-1478.2011.05.030
Citation:
ZHANG Liang-liang, YANG Qing and XIONG Guo-bing. An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation[J]. Journal of Light Industry, 2011, 26(5): 121-124.
doi:
10.3969/j.issn.1004-1478.2011.05.030
An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation
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Risk Mana.Dept., Everbright Securities, Shanghai 200040, China;
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School of Finance, Fudan Univ., Shanghai 200433, China
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Received Date:
2011-04-20
Available Online:
2011-09-15
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Abstract
The VaR and CVaR model were calibrated using Chinese market data based on Generalized-Hyperbolic distribution and with maximum likelihood method,the empirical and back testing results are presented.The results showed that the introduction of G-H distribution effectivly reduced the failure rate of VaR model,and the higher the percentile,the better the fit result is.It is thus proved that G-H parametric method is a very good VaR and CVaR estimation technique.
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References
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Proportional views
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