Journal of Shanghai University（Natural Science Edition）
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TANG Lin-jun1,2,WANG Han-xing1,3
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Abstract: As for the sharp-kurtosis and fat-tail characteristics of the money-market yield, a mixed distribution — Laplace and extreme value-II distribution is proposed, which is applied to establish a new model for estimating value at risk (VaR).By demonstrating in the financial market, this new method shows a very high practical value in which return rate has extreme.
As for the sharp-kurtosis and fat-tail characteristics of the money-market yield, a mixed distribution — Laplace and extreme value-II distribution is proposed, which is applied to establish a new model for estimating value at risk (VaR).By demonstrating in the financial market, this new method shows a very high practical value in which return rate has extreme.
Key words: Laplace-extreme value mixing model
risk-at-value
TANG Lin-jun;WANG Han-xing;. A New Approach of Estimating Value at Risk[J]. Journal of Shanghai University（Natural Science Edition）.
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URL: https://www.journal.shu.edu.cn/EN/
https://www.journal.shu.edu.cn/EN/Y2007/V13/I6/715
