发帖
雷达卡
金融中的风险价值模型，Value At Risk Models In Finance，欧洲央行工作论文75号，August 2001，41页，全英文
Contents
Abstract 4
Non-technical summary 5
1 Introduction 6
2 VaR Methodologies 7
2.1 Parametric Models 8
2.2 Nonparametric Methods 10
2.3 Semiparametric Models 12
3 Expected Shortfall 20
4 Monte Carlo Simulation 22
4.1 Sumulation Study of the Threshold Choice for EVT 22
4.2 Comparison of quantile methods performance 24
5 Conclusion 28
References 29
Appendix A: Tables 31
Appendix B: Figures 35
European Central Bank Working Paper Series 36
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