文献类型： 会议论文

第一作者： Zhang Jian-Long

作者： Zhang Jian-Long ¹ ;

作者机构： 1.Postdoctoral in Institute of Economic Research of Peking University GuangHua TianCheng Postdoctoral Programme

关键词： Saddlepoint Approximation;Generalized Hyperbolic Distribution;Coherent Risk Measure;CVaR

会议名称： International conference on modelling and simulation

主办单位：

页码： 75-78

摘要： CVaR is a coherent risk measure which measures the conditional mean beyond VaR, and Generalized Hyperbolic Distribution(g.h.d) is an excellent fitness for asset return rate. Both of them have wide applications in risk management. But it is hard to obtain the explicit expression for c.d.f. of ghd.because of its complication of probability density function. This paper derives the CVaR's saddlepoint formula for Generalized Hyperbolic Distribution referred to Lin & Zhang (2008). Precision test for Normal Inverse Gaussian distribution show that the saddlepoint formula of CVaR can exactly and stably approximate the simulation result.

分类号： tp15