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Date of Publication:2017-01-01

Journal:系统管理学报

Affiliation of Author(s):经济管理学院

Volume:26

Issue:5

Page Number:888-896

ISSN No.:1005-2542

Abstract:We adopt a stochastic volatility model to obtain the standard residuals,and then under different assumptions on the distribution of residuals,we calculate the tail risk of IF300 index future using Value-atRisk (VaR),Expected Shortfall (ES) and tail distortion risk measure (TDRM).Our results show that stochastic volatility model is a good way to capture the volatility,and the assumption that the residuals follow an extreme value distribution can achieve better fitting results than the Gaussian assumption.Moreover,under the same confidence level,the success rate of using TDRM is higher than that of using VaR.In addition,by changing the form of distortion function or the risk aversion coefficient,TDRM can be adjusted to reflect subjective risk attitudes from different types of investors.

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