中国石油大学学报（社会科学版）Issue(4)：7-13,7.DOI:10.13216/j.cnki.upcjess.2015.04.0002
一基于极值 BMM模型的石油价格极端风险度量研究
R isk Measurement of Oil Price by Implementing BMM Model
摘要
Abstract
The paper estimates parameters on the general extreme value distribution using WTI return and we calculate the risk of oil price using VaR formula deduced from the BMM model.The results show that the risk measured by BMM model is lower than by the normal model in the 95%confidence level, and vice versa, in the 99%confidence level.It illustrates that the higher confidence level is the more BMM model which can capture the heavy tail characteristics of the distribution.However, the effectiveness is less than normal distribution in the lower confidence level.Therefore, BMM model will be a better choice to measure the extreme risk for manager in oil market.关键词
极值理论/BMM模型/石油价格/风险度量Key words
extreme value theory/BMM model/oil price/risk measurement分类
管理科学引用本文复制引用
刘飞,郑晓亚..一基于极值 BMM模型的石油价格极端风险度量研究[J].中国石油大学学报（社会科学版）,2015,(4):7-13,7.基金项目
国家自然科学基金面上项目 （）
