Abstract: Some properties of the generalized Pareto distribution are discussed. Then GP model is used to analyze the returns to Shanghai stock index, Shenzhen stock index and the stock prices of two specific companies. A quantitative indicator of extreme changes in stock index and stock price is mentioned. The estimation of Value-at-Risk is also discussed.

Key words: Generalized Pareto distribution, returns, tail index, value at risk, capital-loss coefficient

摘要： 讨论了GP分布模型的某些性质，利用此模型对上证指数、深证指数和2家公司股票价格的收益率进行分析，给出股票指数和价格极值波动程度的量化指标和风险值(VaR)的估计值。

关键词: GP分布, 收益率, 尾指数, 风险值, 资本损失系数