ofMathematics,ETH,SwissFederalTechnicalUniversity,2000.[5]AlexanderJ.McNeilandRudigerFrey.stimationofTail-RelatedRiskMeasuresforHeteroscedasticFinancialTimeSeries:anExtremeValueApproach.JournalofEmpiricalFinance,2000,7:271~300.[6]ioSzego.Measuresofrisk.EuropeanJournalofOperationalResearch,2005:5~19.[7]于红香.基于极值方法的VaR和CVaR评估[D].华中科技大学,2005年.mercialBanksUsingCVaRmodelofExtremeValueTheoryPanHaoSunYang(SchoolofFinance,NanJingUniversityofFinanceandEconomics,NanJing210046,China)Abstract:Recently,theretakesonatrendofusingmodelsinoperationalriskmeasurement.ThispaperselectsextremevaluetheorytoconstitutetheCVaRmodelofoperationalrisk.Andbythisway,mercialbanks.However,anicallywiththereinforcementofoperationalriskmanagement.KeyWords:OperationalRisk,Value-at-Risk,ConditionValue-at-Risk,ExtremeValueTheory
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