论文题目：A New Measurement SystemforFinancial Risk Factors Based on Moment Estimation, g-h Distribution Fitting and Expected Shortfall
主 讲 人：吴建刚 博士
时 间：10月25日（周五）12:30-13:30
地 点：管理学院420室
Abstract：Since the measurement of riskis becoming more and more important in risk management and the related techniques are still full of defects, this research provides a systematic solution based on moments estimation, g-h distribution fitting and expected shortfall. The paperlists the defects of traditional risk measurement methods and explains the feasibility of using expected shortfall as the main risk measurement indicator. The paper introduces g-h distribution and provides techniques for the g-h distribution fitting both for a single random variable and for multiple random variables, which is the main contribution of the paper. The paper finallygives the calculation steps of expected shortfall for the measurement system.
Key words:risk measurement; g-and-h Distribution; expected shortfall; Monte Carlo simulation; moments
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