统计研究
統計研究
통계연구
Statistical Research
2003年
2期
48~50
,共null页
风险度量 PaV 计算框架 VaR
風險度量 PaV 計算框架 VaR
풍험도량 PaV 계산광가 VaR
The paper proposes a new tool to measure the risk in financial market: PaV, which means the happening probability with the given loss magnitude, and utilizes Copula function to obtain its computing algorithm. Two cases are illustrated for the promising applications of PaV.
The paper proposes a new tool to measure the risk in financial market: PaV, which means the happening probability with the given loss magnitude, and utilizes Copula function to obtain its computing algorithm. Two cases are illustrated for the promising applications of PaV.
The paper proposes a new tool to measure the risk in financial market: PaV, which means the happening probability with the given loss magnitude, and utilizes Copula function to obtain its computing algorithm. Two cases are illustrated for the promising applications of PaV.
