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The Theory Of Extreme Value And The Lose Of Commercial Bank

Posted on:2006-06-26Degree:MasterType:Thesis
Country:ChinaCandidate:L J FuFull Text:PDF
GTID:2156360152989368Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
This paper studies the key that must be solved by bank in the process of risk management in the new situation that bank must face:how to measure the risk precisely and the lose rising from it.Emphesising at the studying of the quantity methods of lose rising from of market,credit,and management risk of the modern bank,and the applying condition in china.Especially in the situation of the financial gains'distribution appearing non-normal thick tail distribution's traits.When applies the method of Value at Risk (VAR) to mature the lose of bank, must be face the problem that is must presuming a distribution function for it when appalling VAR method, but the theory of extreme value don't,then it can avoid the model risk that VAR method may be encount.The paper studied how to apply the theory of extreme value to the VAR method to rise the degree of estimating precise, and made empirical analysis.showing that the lose distribution rising from market risk have the traits of pinnacle and thick tail,so applying the theory of extreme value to the VAR method is better than the ordinary VAR.
Keywords/Search Tags:thick tail distribution, value at risk, the theory of extreme value
PDF Full Text Request
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