Title :
Analysis of Value at Risk on CSI 300 index via Extreme Value Theory
Abstract :
Value at Risk (VaR) is a widely used tool in risk management. It is the most important method to measure market risk. In this paper we use Extreme Value Theory (EVT) method to calculate VaR compared with Variance-Covariance method, and then apply empirical analysis on CSI 300 index. The results show that using EVT method always acquires more accurate VaR under extreme conditions.
Keywords :
covariance analysis; financial management; risk management; CSI 300 Index via extreme value theory; EVT; VaR; extreme value theory; risk management; value at risk analysis; variance covariance method; Analysis of variance; Distribution functions; Frequency; Gaussian distribution; History; Mathematics; Random variables; Reactive power; Risk analysis; Risk management; CSI 300 index; Extreme Value Theory; Value at Risk; Variance-Covariance;
Conference_Titel :
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5263-7
Electronic_ISBN :
978-1-4244-5265-1
DOI :
10.1109/ICIME.2010.5478093
