Title :
VaR Model Based on Fat-Tail Distribution of Extreme Value Theory with Its Application in Chinese Foreign Exchange Market
Author :
Zhang Shaozong ; Yang Jie
Author_Institution :
Sch. of Math. Sci., Yunnan Normal Univ., Kunming, China
Abstract :
In this paper, we study the statistical features of Chinese foreign exchange market data. Furthermore, we mainly fit the sample tail data employed generalized pareto distribution (GPD), when building VaR model based on fat-tail distribution of extreme value theory (EVT), we show that the model can be appropriate to be applied to Chinese foreign exchange market data. We have also proposed a procedure to better estimate the parameters in the GPD.
Keywords :
Pareto distribution; foreign exchange trading; parameter estimation; risk analysis; statistical analysis; Chinese foreign exchange market; VaR model; extreme value theory; fat-tail distribution; generalized Pareto distribution; parameter estimation; statistical features; Area measurement; Gaussian distribution; Mathematical model; Parameter estimation; Portfolios; Probability distribution; Random variables; Reactive power; Risk analysis; Risk management;
Conference_Titel :
Information Engineering and Computer Science, 2009. ICIECS 2009. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4994-1
DOI :
10.1109/ICIECS.2009.5363130
