中文摘要：

风险价值（VaR）和预期亏损（ES）能较好地度量金融投资组合的最大损失,研究其估计具有重大意义。本文利用贝叶斯经验似然方法对VaR和ES进行估计,理论上讨论了该估计的相合性和渐近正态性。模拟结果显示,在合适的先验信息下,本文所提出的估计具有一定的优势,有较好的应用前景。

英文摘要：

VaR（value at risk）and ES（expected shortfall）are used to measure the loss of financial investment.It is interesting to investigate the estimation of VaR and ES.In this paper,VaR and ES are estimated by Baysian empirical likelihood method.Some properties,such as consistence and asymptotic normality,are given.Simulation studies show that,with some prior information,Baysian empirical likelihood is a better method.