Comparison Research of Extreme Risk Measurement Applying to Equity, Treasury and Corporate Bond of China

摘要

It is well known that finance data tends to heavytailed. In this paper, on a basis of an exponential regression model for log-spacings we propose an extreme quantile estimator of heavy-tailed distribution and attain an estimation of value-atrisk (VaR). Then, we consider a VaR calculations and comparison research for equity, treasury and corporate bond index of China.