CAJ | 학술논문

应用极值理论计算风险值要求数据服从独立同分布的前提假设,但在实际的金融时间序列中并不满足这样的条件。为了解决该问题,可以引入极值指标,并利用除串法,重新对超阈值数据建立POT模型,对VaR和CVaR进行估计。利用美元兑人民币汇率数据进行实证分析,结果表明：利用除串法对超阈值的极值数据进行处理后,计算所得VaR和CVaR较未除串均有所降低,且在低置信水平（≤97.5%）下下降幅度比较明显;在高置信水平（≥99%）下运用失败率检验除串后的模型比较理想,并且较低的风险值能使用于缓冲损失的准备资金得到有效利用。
응용겁치이론계산풍험치요구수거복종독립동분포적전제가설,단재실제적금융시간서렬중병불만족저양적조건。위료해결해문제,가이인입겁치지표,병이용제천법,중신대초역치수거건립POT모형,대VaR화CVaR진행고계。이용미원태인민폐회솔수거진행실증분석,결과표명：이용제천법대초역치적겁치수거진행처리후,계산소득VaR화CVaR교미제천균유소강저,차재저치신수평（≤97.5%）하하강폭도비교명현;재고치신수평（≥99%）하운용실패솔검험제천후적모형비교이상,병차교저적풍험치능사용우완충손실적준비자금득도유효이용。
The application of EVT requires data to obey the independent and identically distributed assumption, but the actual financial time series are not satisfied with this hypothesis. To solve this problem, we introduce the extreme value index and build a POT model by using the method of declus- tering in order to calculate the estimate of VaR and CVaR. The computation result of USD/CNY fo- reign exchange rate proves that VaR and CVaR are lower after using the method of declustering, and the lowering is obvious at a low confidence level（〈=97.5%）, and the test of failure rate can be used at a high confidence level（〉=99%）. So the model after the use of declustering is an ideal one, and the lower VaR enables the preparation fund to be used effectively.