基于脂肪尾稳定的帕雷斯分布来建模飞机燃料价格回报的分布
Shuang Lin1, Shengda Zhang1, Chaofeng Wang2
1School of Economics and Management, Civil Aviation Flight University of China, Deyang, China.
PloS one
|October 30, 2024
概括
一个新的稳定的帕雷斯模型提供了比传统的正常分配模型更好的飞机燃料价格风险分析,改善了航空公司的财务风险管理和对冲策略.
科学领域:
- 金融建模金融建模
- 定量金融是指数量金融.
- 风险管理 风险管理
背景情况:
- 由于飞机燃料价格的波动,航空公司面临着严重的财务不确定性.
- 传统的风险模型,假设正常分布,可能导致不充分的对冲策略.
研究的目的:
- 引入和评估用于飞机燃料价格回报分析的稳定帕雷斯模型.
- 为了比较稳定的帕雷斯模型与正常分布模型的预测准确度,用于风险指标,如风险价值 (VaR) 和条件风险价值 (CVaR).
主要方法:
- 使用大样本数据分析飞机燃料价格回报率.
- 使用统计标准和非参数测试对稳定的帕雷斯分布和正常分布进行比较.
- 在滚动窗口预测下评估风险价值 (VaR) 和条件风险价值 (CVaR) 的准确性.
主要成果:
- 稳定的帕雷斯分布表明,与正常分布相比,它更好地适应了飞机燃料价格的回报.
- 虽然风险价值 (VaR) 后期测试显示了类似的结果,但稳定的帕雷斯模型提供了一个不那么偏的有条件风险价值 (CVaR).
- 统计测试 (AIC,BIC,Kolmogorov-Smirnov,预期缺口回归测试) 支持稳定的帕雷斯模型的更好的表现.
结论:
- 稳定的帕雷斯模型为分析飞机燃料价格动态提供了更强大的框架.
- 这种方法可以提高风险评估的准确性,从而改善航空公司的对冲和财务决策.
- 该模型以稳定性捕捉回报动态的能力是其有效性的关键.
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