
doi: 10.1109/his.2009.249
On the assumption that traditional research methods adopts normal distribution which leads to the VaR estimation deviation. This paper utilizes POT model of extreme value theory, and GPD distribution which can give more accurate description on tail distribution of benefits of financial products. Comparing with traditional research methods, extreme theory can make fully use of historical data, and overcome shortcomings of traditional methods in computing high reliability VaR.
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