帕累托分布

运用广义帕累托分布和Copula函数分析市场风险和流动性风险的相依性以及风险集成值。

The Generalized Pareto Distribution and the Copula function is used to analyze dependencies and integration of market risk and liquidity risk market risk .

本文讨论了第二种模型，分析了广义帕累托分布的性质并阐述了模型的应用。

The second model is discussed in this paper which analyzes the nature of the generalized Pareto distribution and describes the application of the model .

文章在极值理论广义帕累托分布（GPD）下，研究了上证以180指数为标的的股指期货的保证金水平，并且与正态分布假设下的保证金水平进行比较。

With the GPD , this paper studies the margin level of the stock index future contract of Shanghai 180 index , and compares with the margin level of hypothesis of normal distribution .

广义帕累托分布模型：风险管理的工具

GPD Model as a Risk Management Tool

在广义帕累托分布模型中，门限值过小，极限定理不成立，得到的估计是有偏的；

In GPD model , a too low threshold will get biased estimates because the limit theorem does not apply .