关键词: 尾部指数回归, 条件分布, 条件在险价值

Abstract: Value at Risk (VaR) is an important financial risk measurement method, and there is a lot of research on dynamic VaR and conditional VaR recently. According to the fact of financial returns’ heavy-tail, the return of financial assets is assumed to obey heavy-tailed distribution, and the heavy-tailed index is assumed to change with returns. Based on the tail index regression model, tail index and conditional distribution are estimated. And, for the first time, CVaR is estimated by the proposed method. An empirical study of Shanghai and Shenzhen 300 Index is presented, and CVaR is estimated and compared with the traditional VaR estimation methods. The test results of risk prediction effect reveal that our method is better.

Key words: Heavy-tailed Index Regression, Conditional Distribution, Conditional Value at Risk