| 基于EVT和高阶ES测度的人民币汇率风险研究 |
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| 引用本文： | 谢福座,刘晓星.基于EVT和高阶ES测度的人民币汇率风险研究[J].河北科技大学学报(社会科学版),2010,10(2):8-13,64. |
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| 作者姓名： | 谢福座 刘晓星 |
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| 作者单位： | 广东商学院金融学院,广东广州,510320 |
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| 基金项目： | 国家自然科学基金项目，教育部人文社会科学项目，广东省自然科学基金项目 |
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| 摘 要： | 结合极值理论（EVT）和基于广义随机占优理论的高阶ES测度对三种国际主要货币对人民币汇率波动性风险进行考察,实证结果表明：美元对人民币汇率二阶及二阶以上广义随机占优于日元对人民币汇率和欧元对人民币汇率,而日元对人民币汇率和欧元对人民币汇率之间不存在四阶及四阶以下广义随机占优关系。使用ES（n）可以提高风险控制可靠性,提升风险决策能力。
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| 关 键 词： | 广义随机占优理论 极值理论 高阶ES测度 汇率风险 |
The Research of Exchange Rate Risk Based on EVT and High-level ES |
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| XIE Fu-zuo,LIU Xiao-xing.The Research of Exchange Rate Risk Based on EVT and High-level ES[J].Journal of Hebei University of Science and Technology,2010,10(2):8-13,64. |
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| Authors: | XIE Fu-zuo LIU Xiao-xing |
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| Institution: | (School of Finance,Guangdong University of Business Studies,Guangzhou 510320,China) |
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| Abstract: | This paper uses extreme calue theory and high-level ES measure based on general stochastic dominance theory to measure the volatility risk of three major international currencits against RMB exchange rate.The empirical results show that USD/CNY is 2th-nth level general stochastic dominant in EUR/CNY and JPY/CNY.However there is no generalized stochastic dominance relations between EUR/CNY and JPY/CNY below 4th level.Using high-level ES measure can improve the reliability of risk control and reduce the possibility of making a wrong judgement. |
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| Keywords: | general stochastic dominance theory EVT high-level ES measure exchangerate risk |
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