{"id":3655,"date":"2026-03-12T07:54:00","date_gmt":"2026-03-11T23:54:00","guid":{"rendered":"https:\/\/www.laoyulaoyu.com\/?p=3655"},"modified":"2026-03-05T21:54:48","modified_gmt":"2026-03-05T13:54:48","slug":"%e9%87%91%e8%9e%8d%e5%b8%82%e5%9c%ba%e9%87%8c%e7%9a%84%e6%a6%82%e7%8e%87%e5%9c%b0%e5%9b%be%ef%bc%9a%e4%b8%ba%e4%bb%80%e4%b9%88%e4%bd%a0%e7%9a%84%e9%a3%8e%e6%8e%a7%e6%a8%a1%e5%9e%8b%e6%80%bb","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2026\/03\/12\/%e9%87%91%e8%9e%8d%e5%b8%82%e5%9c%ba%e9%87%8c%e7%9a%84%e6%a6%82%e7%8e%87%e5%9c%b0%e5%9b%be%ef%bc%9a%e4%b8%ba%e4%bb%80%e4%b9%88%e4%bd%a0%e7%9a%84%e9%a3%8e%e6%8e%a7%e6%a8%a1%e5%9e%8b%e6%80%bb\/","title":{"rendered":"\u91d1\u878d\u5e02\u573a\u91cc\u7684”\u6982\u7387\u5730\u56fe”\uff1a\u4e3a\u4ec0\u4e48\u4f60\u7684\u98ce\u63a7\u6a21\u578b\u603b\u5728\u5173\u952e\u65f6\u523b\u6389\u94fe\u5b50\uff1f"},"content":{"rendered":"\n

\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n

\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\n
\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u5e72\u4e86\u5341\u51e0\u5e74\u91cf\u5316\uff0c\u6211\u53d1\u73b0\u5927\u90e8\u5206\u4eba\u4e8f\u94b1\u4e0d\u662f\u56e0\u4e3a\u770b\u4e0d\u61c2K\u7ebf\uff0c\u800c\u662f\u770b\u4e0d\u61c2\u6982\u7387\u3002\u8fd9\u7bc7\u6587\u7ae0\u804a\u804a\u91d1\u878d\u5e02\u573a\u7684\"\u5730\u5f62\u56fe\"\u2014\u2014\u6982\u7387\u5206\u5e03\u3002<\/mark>\u4ece\u6e29\u987a\u7684\u6b63\u6001\u5206\u5e03\u5230\u72c2\u91ce\u7684\u80a5\u5c3e\u5206\u5e03\uff0c\u4ece\u4e2d\u5fc3\u6781\u9650\u5b9a\u7406\u5230\u6781\u503c\u7406\u8bba\uff0c\u5e26\u4f60\u641e\u61c2\u4e3a\u4ec0\u4e48\u6a21\u578b\u603b\u5728\u6781\u7aef\u884c\u60c5\u4e0b\u5931\u6548\uff0c\u4ee5\u53ca\u600e\u4e48\u7528\u6570\u5b66\u601d\u7ef4\u907f\u5f00\u90a3\u4e9b\"\u5343\u5e74\u4e00\u9047\"\u7684\u5927\u5751\u3002<\/pre>\n<\/blockquote>\n\n\n\n
\u5f00\u7bc7\uff1a\u5e02\u573a\u662f\u4e0d\u786e\u5b9a\u7684\uff0c\u4f46\u4e0d\u786e\u5b9a\u672c\u8eab\u53ef\u4ee5\u88ab\u63cf\u8ff0<\/strong><\/h2>\n\n\n\n
\u505a\u4ea4\u6613\u7684\u670b\u53cb\u90fd\u77e5\u9053\uff0c\u5e02\u573a\u6700\u5927\u7684\u786e\u5b9a\u6027\u5c31\u662f”\u4e0d\u786e\u5b9a”\u3002\u4f46\u662f\uff0c\u8fd9\u79cd\u4e0d\u786e\u5b9a\u5e76\u4e0d\u662f\u5b8c\u5168\u968f\u673a\u7684\uff0c\u5b83\u6709\u81ea\u5df1\u7684”\u813e\u6c14”\u548c”\u89c4\u5f8b”\u3002<\/p>\n\n\n\n
\u60f3\u8c61\u4e00\u4e0b\uff0c\u4f60\u624b\u91cc\u6709\u4e00\u5f20\u5730\u56fe\u3002\u8fd9\u5f20\u5730\u56fe\u4e0d\u662f\u7528\u6765\u544a\u8bc9\u4f60\u4e0b\u4e00\u79d2\u80a1\u4ef7\u4f1a\u6da8\u5230\u591a\u5c11\uff0c\u800c\u662f\u544a\u8bc9\u4f60\uff1a\u4ef7\u683c\u51fa\u73b0\u67d0\u79cd\u6ce2\u52a8\u7684\u53ef\u80fd\u6027\u6709\u591a\u5927<\/strong>\u3002\u8fd9\u5c31\u662f\u6982\u7387\u5206\u5e03\u5728\u91d1\u878d\u9886\u57df\u7684\u6838\u5fc3\u4f5c\u7528\u2014\u2014\u5b83\u662f\u6211\u4eec\u7406\u89e3\u5e02\u573a\u98ce\u9669\u7684”\u5bfc\u822a\u4eea”\u3002<\/p>\n\n\n\n
\u5728\u91cf\u5316\u5708\u6df7\u4e86\u8fd9\u4e48\u591a\u5e74\uff0c\u6211\u89c1\u8fc7\u592a\u591a\u4eba\u628a\u6982\u7387\u5206\u5e03\u5f53\u6210\u6446\u8bbe\u3002\u4ed6\u4eec\u62ff\u7740\u6b63\u6001\u5206\u5e03\u7684\u5047\u8bbe\u53bb\u7b97\u98ce\u9669\u4ef7\u503c\uff08VaR\uff09\uff0c\u7ed3\u679c\u9047\u5230\u4e00\u6b21”\u9ed1\u5929\u9e45”\u5c31\u7206\u4ed3\u3002\u4eca\u5929\u8001\u4f59\u5c31\u7528\u6700\u76f4\u767d\u7684\u8bdd\uff0c\u628a\u8fd9\u4e8b\u7ed9\u4f60\u63b0\u626f\u6e05\u695a\u3002<\/p>\n\n\n\n
\u2461<\/strong>\u00a0\u6b63\u6001\u5206\u5e03\uff1a\u91d1\u878d\u4e16\u754c\u7684”\u7406\u60f3\u578b”<\/strong>
<\/h2>\n\n\n\n
2.1 \u4e3a\u4ec0\u4e48\u5927\u5bb6\u90fd\u7231\u949f\u5f62\u66f2\u7ebf<\/strong><\/h3>\n\n\n\n
\u6b63\u6001\u5206\u5e03\uff0c\u4e5f\u53eb\u9ad8\u65af\u5206\u5e03\uff0c\u662f\u7edf\u8ba1\u5b66\u754c\u7684”\u7f51\u7ea2”\u3002\u5b83\u7684\u66f2\u7ebf\u50cf\u4e2a\u949f\uff0c\u4e2d\u95f4\u9ad8\u4e24\u8fb9\u4f4e\uff0c\u5bf9\u79f0\u7f8e\u89c2\u3002\u5728\u91d1\u878d\u5e02\u573a\u91cc\uff0c\u8fd9\u4e2a\u5206\u5e03\u88ab\u7528\u5f97\u6700\u5e7f\uff0c\u539f\u56e0\u5f88\u5b9e\u5728\uff1a<\/p>\n\n\n\n
    \n
  • \u6570\u5b66\u597d\u7b97\uff1a<\/strong>\u52a0\u51cf\u4e58\u9664\u90fd\u6709\u73b0\u6210\u516c\u5f0f\uff0c\u8ba1\u7b97\u673a\u8dd1\u8d77\u6765\u5feb\u3002<\/li>\n\n\n\n
  • \u4e2d\u5fc3\u6781\u9650\u5b9a\u7406\u6491\u8170\uff1a<\/strong>\u5927\u91cf\u72ec\u7acb\u968f\u673a\u56e0\u7d20\u53e0\u52a0\uff0c\u6700\u540e\u90fd\u4f1a\u8d8b\u5411\u6b63\u6001\u3002<\/li>\n\n\n\n
  • \u76f4\u89c2\u597d\u61c2\uff1a<\/strong>68%\u7684\u6570\u636e\u5728\u4e00\u4e2a\u6807\u51c6\u5dee\u5185\uff0c95%\u5728\u4e24\u4e2a\u6807\u51c6\u5dee\u5185\u3002<\/li>\n<\/ul>\n\n\n
    \n
    \"\"\/
    \u56fe1\uff1a\u6807\u51c6\u6b63\u6001\u5206\u5e03\u949f\u5f62\u66f2\u7ebf\u53ca\u6807\u51c6\u5dee\u533a\u95f4<\/figcaption><\/figure>\n<\/div>\n\n\n
    \u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\uff08MPT\uff09\u3001Black-Scholes\u671f\u6743\u5b9a\u4ef7\u6a21\u578b\uff0c\u8fd9\u4e9b\u7ecf\u5178\u7406\u8bba\u90fd\u662f\u5efa\u7acb\u5728\u6b63\u6001\u5206\u5e03\u5047\u8bbe\u4e0a\u7684\u3002\u53ef\u4ee5\u8bf4\uff0c\u6ca1\u6709\u6b63\u6001\u5206\u5e03\uff0c\u5c31\u6ca1\u6709\u73b0\u4ee3\u91cf\u5316\u91d1\u878d\u3002<\/p>\n\n\n\n
    2.2 \u6b63\u6001\u5206\u5e03\u7684”\u4eba\u8bbe”\u53c2\u6570<\/strong><\/h3>\n\n\n\n
    \u6b63\u6001\u5206\u5e03\u5c31\u4e24\u4e2a\u53c2\u6570\uff0c\u7b80\u5355\u5230\u7c97\u66b4\uff1a<\/p>\n\n\n\n
    \u53c2\u6570<\/strong><\/th>\u542b\u4e49<\/strong><\/th>\u91d1\u878d\u89e3\u91ca<\/strong><\/th><\/tr>
    \u03bc\uff08\u5747\u503c\uff09<\/td>\u5206\u5e03\u7684\u4e2d\u5fc3\u4f4d\u7f6e<\/td>\u8d44\u4ea7\u7684\u9884\u671f\u6536\u76ca\u7387<\/td><\/tr>
    \u03c3\uff08\u6807\u51c6\u5dee\uff09<\/td>\u5206\u5e03\u7684\u80d6\u7626\u7a0b\u5ea6<\/td>\u6ce2\u52a8\u7387\uff0c\u4e5f\u5c31\u662f\u98ce\u9669\u5927\u5c0f<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u516c\u5f0f\u4e5f\u7b80\u5355\uff1aP(x) = (1\/\u221a(2\u03c0\u03c3\u00b2)) \u00d7 e^(-(x-\u03bc)\u00b2\/(2\u03c3\u00b2))<\/p>\n\n\n\n
    2.3 \u5b9e\u6218\u6f14\u793a\uff1a\u6a21\u62df\u80a1\u7968\u65e5\u6536\u76ca<\/strong><\/h3>\n\n\n\n
    \u5047\u8bbe\u67d0\u53ea\u80a1\u7968\u65e5\u5747\u6536\u76ca0.05%\uff0c\u65e5\u6ce2\u52a8\u73872%\u3002\u6211\u4eec\u7528Python\u6a21\u62df10000\u4e2a\u4ea4\u6613\u65e5\u7684\u6536\u76ca\uff1aimport numpy as np import matplotlib.pyplot as plt # \u53c2\u6570\u8bbe\u7f6e mean_return = 0.0005 # \u65e5\u5747\u6536\u76ca0.05% volatility = 0.02 # \u65e5\u6ce2\u52a8\u73872% days = 10000 # \u751f\u6210\u6a21\u62df\u6570\u636e returns = np.random.normal(loc=mean_return, scale=volatility, size=days) # \u53ef\u89c6\u5316 plt.hist(returns, bins=50, density=True, alpha=0.7, color='steelblue') plt.title(\"\u6a21\u62df\u80a1\u7968\u65e5\u6536\u76ca\u5206\u5e03\uff08\u6b63\u6001\u5047\u8bbe\uff09\") plt.xlabel(\"\u6536\u76ca\u7387\") plt.ylabel(\"\u6982\u7387\u5bc6\u5ea6\")<\/code><\/pre>\n\n\n
    \n
    \"\u4ea4\u6613\u6536\u76ca\u5206\u5e03\"\/
    \u56fe2\uff1a\u4ea4\u6613\u6536\u76ca\u7684\u6b63\u6001\u5206\u5e03\u7279\u5f81\u2014\u2014\u5927\u90e8\u5206\u4ea4\u6613\u76c8\u4e8f\u4e0d\u5927\uff0c\u6781\u7aef\u76c8\u4e8f\u8f83\u5c11<\/figcaption><\/figure>\n<\/div>\n\n\n
    \u2462 \u7406\u60f3\u5f88\u4e30\u6ee1\uff0c\u73b0\u5b9e\u5f88\u9aa8\u611f\uff1a\u80a5\u5c3e\u5371\u673a<\/strong>
    <\/h2>\n\n\n\n
    3.1 \u4e3a\u4ec0\u4e48\u6b63\u6001\u5206\u5e03\u4f1a”\u7ffb\u8f66”<\/strong><\/h3>\n\n\n\n
    \u6b63\u6001\u5206\u5e03\u6709\u4e2a\u81f4\u547d\u5f31\u70b9\uff1a\u5b83\u592a”\u6e29\u987a”\u4e86\u3002\u5728\u6b63\u6001\u5206\u5e03\u7684\u5047\u8bbe\u4e0b\uff0c\u8d85\u8fc75\u4e2a\u6807\u51c6\u5dee\u7684\u4e8b\u4ef6\uff085-sigma\u4e8b\u4ef6\uff09\u6982\u7387\u53ea\u67090.00006%\uff0c\u7406\u8bba\u4e0a\u51e0\u4e07\u5e74\u624d\u53d1\u751f\u4e00\u6b21\u3002<\/p>\n\n\n\n
    \u4f46\u770b\u770b\u5386\u53f2\uff1a<\/p>\n\n\n\n
      \n
    • 1987\u5e74\u9ed1\u8272\u661f\u671f\u4e00\uff0c\u9053\u6307\u4e00\u5929\u66b4\u8dcc22.6%\uff1b<\/li>\n\n\n\n
    • 2008\u5e74\u91d1\u878d\u5371\u673a\uff0c\u6807\u666e500\u8dcc\u5e45\u8d85\u8fc740%\uff1b<\/li>\n\n\n\n
    • 2015\u5e74A\u80a1\u7194\u65ad\uff0c\u5343\u80a1\u8dcc\u505c\uff1b<\/li>\n\n\n\n
    • 2020\u5e74\u75ab\u60c5\u66b4\u53d1\uff0c\u7f8e\u80a1\u56db\u6b21\u7194\u65ad\u3002<\/li>\n<\/ul>\n\n\n\n
      \u5982\u679c\u6309\u6b63\u6001\u5206\u5e03\u7b97\uff0c\u8fd9\u4e9b\u4e8b\u4ef6\u7684\u6982\u7387\u6bd4”\u4f60\u8fde\u7eed\u4e2d\u5341\u6b21\u5f69\u7968\u5934\u5956”\u8fd8\u4f4e\u3002\u4f46\u5b83\u4eec\u5c31\u662f\u53d1\u751f\u4e86\uff0c\u800c\u4e14\u53d1\u751f\u5f97\u633a\u9891\u7e41\u3002\u8fd9\u5c31\u662f\u8457\u540d\u7684“\u80a5\u5c3e\u73b0\u8c61”<\/strong>\uff08Fat Tails\uff09\u3002<\/p>\n\n\n
      \n
      \"\u80a5\u5c3e\u5206\u5e03\u5bf9\u6bd4\"\/
      \u56fe3\uff1a\u80a5\u5c3e\u5206\u5e03 vs \u6b63\u6001\u5206\u5e03\u2014\u2014\u5c3e\u90e8\u66f4\u539a\uff0c\u6781\u7aef\u4e8b\u4ef6\u6982\u7387\u66f4\u9ad8<\/figcaption><\/figure>\n<\/div>\n\n\n
      3.2 \u80a5\u5c3e\u5206\u5e03\u5bb6\u65cf<\/strong><\/h3>\n\n\n\n
      \u5f53\u6b63\u6001\u5206\u5e03\u4e0d\u591f\u7528\u65f6\uff0c\u6211\u4eec\u9700\u8981\u66f4”\u72c2\u91ce”\u7684\u5206\u5e03\uff1a<\/p>\n\n\n\n
      \u5206\u5e03\u7c7b\u578b<\/strong><\/th>\u7279\u70b9<\/strong><\/th>\u9002\u7528\u573a\u666f<\/strong><\/th>\u98ce\u9669<\/strong><\/th><\/tr>
      \u5b66\u751ft\u5206\u5e03<\/td>\u81ea\u7531\u5ea6\u8d8a\u5c0f\uff0c\u5c3e\u90e8\u8d8a\u539a<\/td>\u80a1\u7968\u6536\u76ca\u7387\u5efa\u6a21<\/td>\u65b9\u5dee\u53ef\u80fd\u65e0\u9650\uff08\u81ea\u7531\u5ea6\u22642\uff09<\/td><\/tr>
      \u67ef\u897f\u5206\u5e03<\/td>\u5747\u503c\u548c\u65b9\u5dee\u90fd\u4e0d\u5b58\u5728<\/td>\u6781\u7aef\u6ce2\u52a8\u5efa\u6a21<\/td>\u4f20\u7edf\u7edf\u8ba1\u65b9\u6cd5\u5931\u6548<\/td><\/tr>
      \u5217\u7ef4\u5206\u5e03<\/td>\u5c3a\u5ea6\u4e0d\u53d8\u6027\uff0c\u8df3\u8dc3\u9891\u7e41<\/td>\u9ad8\u9891\u4ea4\u6613\u3001\u8df3\u8dc3\u6269\u6563<\/td>\u96be\u4ee5\u4f30\u8ba1\u53c2\u6570<\/td><\/tr>
      \u5bf9\u6570\u6b63\u6001\u5206\u5e03<\/td>\u53d6\u5bf9\u6570\u540e\u4e3a\u6b63\u6001<\/td>\u8d44\u4ea7\u4ef7\u683c\u5efa\u6a21\uff08\u4ef7\u683c\u4e0d\u80fd\u4e3a\u8d1f\uff09<\/td>\u53f3\u504f\uff0c\u5927\u6da8\u6982\u7387\u88ab\u4f4e\u4f30<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
      \u26a0\ufe0f <\/strong>\u7528\u6b63\u6001\u5206\u5e03\u505a\u98ce\u9669\u7ba1\u7406\uff0c\u5c31\u50cf\u7528\u5e73\u5747\u6c34\u4f4d\u8bbe\u8ba1\u5824\u575d\u2014\u2014\u5e73\u65f6\u6ca1\u95ee\u9898\uff0c\u6d2a\u6c34\u4e00\u6765\u5c31\u5b8c\u86cb\u30022008\u5e74\u91d1\u878d\u5371\u673a\u524d\uff0c\u5f88\u591a\u673a\u6784\u7684\u6a21\u578b\u90fd\u5047\u8bbe\u623f\u4ef7\u4e0d\u4f1a\u5168\u56fd\u8303\u56f4\u4e0b\u8dcc\uff0c\u7ed3\u679c\u5927\u5bb6\u90fd\u770b\u5230\u4e86\u3002<\/p>\n\n\n\n
      \u2463 \u5bf9\u6570\u6b63\u6001\u5206\u5e03\uff1a\u8d44\u4ea7\u4ef7\u683c\u7684”\u4e13\u5c5e\u76ae\u80a4”<\/strong>
      <\/h2>\n\n\n\n
      4.1 \u4e3a\u4ec0\u4e48\u4ef7\u683c\u4e0d\u80fd\u7528\u6b63\u6001\u5206\u5e03<\/strong><\/h3>\n\n\n\n
      \u80a1\u7968\u4ef7\u683c\u662f\u6c38\u8fdc\u5927\u4e8e\u96f6\u7684\uff08\u7834\u4ea7\u9664\u5916\uff09\uff0c\u4f46\u6b63\u6001\u5206\u5e03\u53ef\u4ee5\u53d6\u8d1f\u503c\u3002\u8fd9\u5c31\u4e0d\u5408\u7406\u3002\u6240\u4ee5\u806a\u660e\u7684\u91d1\u878d\u5de5\u7a0b\u5e08\u60f3\u4e86\u4e2a\u529e\u6cd5\uff1a\u8ba9\u4ef7\u683c\u7684\u5bf9\u6570\u670d\u4ece\u6b63\u6001\u5206\u5e03\u3002<\/p>\n\n\n\n
      \u8fd9\u5c31\u662f\u5bf9\u6570\u6b63\u6001\u5206\u5e03<\/strong>\u3002\u5b83\u7684\u7279\u70b9\u662f\uff1a<\/p>\n\n\n\n
        \n
      • \u53d6\u503c\u8303\u56f4\u662f(0, +\u221e)\uff0c\u4e0d\u4f1a\u51fa\u73b0\u8d1f\u6570\u4ef7\u683c\uff1b<\/li>\n\n\n\n
      • \u53f3\u504f\u5206\u5e03\uff0c\u5927\u6da8\u7684\u6982\u7387\u6bd4\u5927\u8dcc\u7684\u6982\u7387\u9ad8\uff08\u76f8\u5bf9\u800c\u8a00\uff09\uff1b<\/li>\n\n\n\n
      • \u7b26\u5408”\u590d\u5229\u6548\u5e94”\uff1a\u957f\u671f\u6536\u76ca\u662f\u6bcf\u5929\u6536\u76ca\u7684\u4e58\u79ef\uff0c\u4e0d\u662f\u52a0\u603b\u3002<\/li>\n<\/ul>\n\n\n\n
        4.2 Black-Scholes\u7684\u57fa\u77f3<\/strong><\/h3>\n\n\n\n
        \u8457\u540d\u7684Black-Scholes\u671f\u6743\u5b9a\u4ef7\u516c\u5f0f\uff0c\u5c31\u662f\u5047\u8bbe\u6807\u7684\u8d44\u4ea7\u4ef7\u683c\u670d\u4ece\u5bf9\u6570\u6b63\u6001\u5206\u5e03\u3002\u516c\u5f0f\u957f\u8fd9\u6837\uff1a<\/p>\n\n\n\n
        C = S\u2080N(d\u2081) – Ke^(-rT)N(d\u2082) \u5176\u4e2d\uff1a d\u2081 = [ln(S\u2080\/K) + (r + \u03c3\u00b2\/2)T] \/ (\u03c3\u221aT) d\u2082 = d\u2081 – \u03c3\u221aT<\/p>\n\n\n\n
        \u8fd9\u91cc\u7684N(\u00b7)\u5c31\u662f\u6807\u51c6\u6b63\u6001\u5206\u5e03\u7684\u7d2f\u79ef\u5206\u5e03\u51fd\u6570\u3002\u53ef\u4ee5\u8bf4\uff0c\u6574\u4e2a\u671f\u6743\u5e02\u573a\u7684\u5b9a\u4ef7\u4f53\u7cfb\uff0c\u90fd\u5efa\u7acb\u5728\u5bf9\u6570\u6b63\u6001\u5206\u5e03\u7684\u5047\u8bbe\u4e0a\u3002<\/p>\n\n\n\n
        \u2464 \u6781\u503c\u7406\u8bba\uff1a\u4e13\u95e8\u5bf9\u4ed8”\u9ed1\u5929\u9e45”\u7684\u5229\u5668<\/strong>
        <\/h2>\n\n\n\n
        5.1 \u522b\u9884\u6d4b\uff0c\u53ea\u51c6\u5907<\/strong><\/h3>\n\n\n\n
        \u7eb3\u897f\u59c6\u00b7\u5854\u52d2\u5e03\u5728\u300a\u9ed1\u5929\u9e45\u300b\u91cc\u8bf4\uff0c\u6781\u7aef\u4e8b\u4ef6\u65e0\u6cd5\u9884\u6d4b\uff0c\u4f46\u53ef\u4ee5\u4e3a\u5b83\u505a\u51c6\u5907\u3002\u6781\u503c\u7406\u8bba\uff08Extreme Value Theory, EVT\uff09\u5c31\u662f\u5e72\u8fd9\u4e2a\u7684\u3002<\/p>\n\n\n\n
        EVT\u4e0d\u5173\u6ce8\u6570\u636e\u7684”\u8eab\u4f53”\u90e8\u5206\uff0c\u53ea\u5173\u6ce8”\u5c3e\u5df4”\u2014\u2014\u90a3\u4e9b\u6781\u7aef\u7684\u3001\u7f55\u89c1\u7684\u5927\u6da8\u5927\u8dcc\u3002\u5b83\u56de\u7b54\u7684\u95ee\u9898\u662f\uff1a\u7ed9\u5b9a\u5df2\u7ecf\u53d1\u751f\u4e86\u5f88\u591a\u6781\u7aef\u4e8b\u4ef6\uff0c\u4e0b\u4e00\u4e2a\u66f4\u6781\u7aef\u7684\u4e8b\u4ef6\u4f1a\u6709\u591a\u7cdf\uff1f<\/strong><\/p>\n\n\n
        \n
        \"\u6781\u503c\u7406\u8bba\u5e94\u7528\"\/
        \u56fe4\uff1a\u6781\u503c\u7406\u8bba\u4e2d\u7684\u5e7f\u4e49\u5e15\u7d2f\u6258\u5206\u5e03\u62df\u5408<\/figcaption><\/figure>\n<\/div>\n\n\n
        5.2 \u4e24\u79cd\u5b9e\u6218\u65b9\u6cd5<\/strong><\/h3>\n\n\n\n
        \u65b9\u6cd5\u4e00\uff1a\u533a\u5757\u6781\u503c\u6cd5\uff08Block Maxima\uff09<\/strong><\/p>\n\n\n\n
        \u628a\u5386\u53f2\u6570\u636e\u5207\u6210\u4e00\u5757\u4e00\u5757\uff08\u6bd4\u5982\u6309\u6708\u5207\uff09\uff0c\u53d6\u6bcf\u5757\u7684\u6700\u5927\u503c\uff08\u6216\u6700\u5c0f\u503c\uff09\uff0c\u7136\u540e\u7528\u5e7f\u4e49\u6781\u503c\u5206\u5e03\uff08GEV\uff09\u62df\u5408\u3002<\/p>\n\n\n\n
        \u65b9\u6cd5\u4e8c\uff1a\u8d85\u9608\u503c\u6cd5\uff08POT, Peak Over Threshold\uff09<\/strong><\/p>\n\n\n\n
        \u8bbe\u5b9a\u4e00\u4e2a\u9608\u503c\uff0c\u53ea\u770b\u8d85\u8fc7\u8fd9\u4e2a\u9608\u503c\u7684\u6570\u636e\uff0c\u7528\u5e7f\u4e49\u5e15\u7d2f\u6258\u5206\u5e03\uff08GPD\uff09\u62df\u5408\u3002\u8fd9\u79cd\u65b9\u6cd5\u66f4\u7701\u6570\u636e\uff0c\u4e5f\u66f4\u76f4\u89c2\u3002\ud83d\udca1 \u5b9e\u6218\u6848\u4f8b\uff1a<\/strong>\u5047\u8bbe\u4f60\u60f3\u7b97\u67d0\u53ea\u80a1\u7968\u768499% VaR\uff08\u98ce\u9669\u4ef7\u503c\uff09\u3002\u4f20\u7edf\u65b9\u6cd5\u7528\u6b63\u6001\u5206\u5e03\uff0c\u53ef\u80fd\u5f97\u51fa”\u6700\u5927\u4e8f\u635f5%”\u7684\u7ed3\u8bba\u3002\u4f46\u7528EVT\u7684POT\u65b9\u6cd5\uff0c\u8003\u8651\u5230\u80a5\u5c3e\u6548\u5e94\uff0c\u53ef\u80fd\u4f1a\u544a\u8bc9\u4f60”\u6700\u5927\u4e8f\u635f8%\uff0c\u800c\u4e14\u53d1\u751f\u8fd9\u79cd\u6781\u7aef\u60c5\u51b5\u65f6\uff0c\u5e73\u5747\u4e8f\u635f\u662f12%”\u3002\u8fd9\u5c31\u662f\u9884\u671f\u635f\u5931\uff08ES\uff09\u7684\u6982\u5ff5\u3002<\/p>\n\n\n\n
        5.3 EVT\u7684\u5c40\u9650<\/strong><\/h3>\n\n\n\n
        EVT\u4e5f\u4e0d\u662f\u4e07\u80fd\u7684\uff1a<\/p>\n\n\n\n