DocumentCode
2813341
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
fYear
2009
fDate
19-20 Dec. 2009
Firstpage
1
Lastpage
5
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Engineering and Computer Science, 2009. ICIECS 2009. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4994-1
Type
conf
DOI
10.1109/ICIECS.2009.5363130
Filename
5363130
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