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Journal of Shanghai University（Natural Science Edition） ›› 2007, Vol. 13 ›› Issue (6): 715-719 .

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A New Approach of Estimating Value at Risk

TANG Lin-jun1,2,WANG Han-xing1,3   

  1. 1. School of Sciences, Shanghai University, Shanghai 200444, China;
    2. Department of Statistics, Jiaxing College, Jiaxing 314001, China;
    3. China Lixin Risk Management Research Institute, Shanghai 201620, China
  • Received:2007-01-09 Revised:1900-01-01 Online:2007-12-20 Published:2007-12-20
  • Contact: TANG Lin-jun1,2

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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.

Key words: Laplace-extreme value mixing model

, mixing distribution of Laplace and EVD-Ⅱ,

risk-at-value