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基于历史数据分析金融投资风险的方法

发表时间:2009-07-15  浏览量:1511  下载量:658
全部作者: 孙浩,刘扬,丁根宏
作者单位: 河海大学土木工程学院
摘 要: 基于历史数据,建立了数理统计概率、风险阶值(value at risk,VaR)2个数学模型,并对金融投资风险进行了建模分析。首先,通过皮尔逊〖JX-*4〗χ〖JX*4〗2拟合检验法和概率纸检验法对历史数据进行分析,确定收益额服从的概率分布,建立了一般的统计假设检验模型,利用其正态分布的性质进行求解。其次,建立一个VaR风险分析模型,通过理论推导VaR的表达式和计算机模拟2种方法对模型进行求解,并对结果进行对比校核。针对风险度量的一般数学表达形式,导出了几个参数(M, L,1-α, T)的关系式。另外,在模型的推广上面还引入了VaR模型的检验方法。在第一种模型中通过2种假设检测法对文中得出的数据进行了检验,同时,在第二个模型的基础上进行了延伸,利用计算机仿真模拟进行校核,从而降低了收益率曲线的一些不明确性。因此,通过对模型的多重假设以及检验校核等方法在很大程度上保证了模型的稳定性与可靠性。
关 键 词: 数理统计;风险价值模型;置信度;金融投资;收益额
Title: Analysis of financial investment risk based on historical data
Author: SUN Hao,LIU Yang, DING Genhong
Organization: School of Civil Engineering, Hohai University
Abstract: This paper develops two models to analyze financial investment risk based on historical data, which are respectively mathematical statistics probability model and VaR (value at risk) model. Firstly, it analyzes the historical data by Pearsonion 〖JX-*4〗χ〖JX*4〗2 goodness of fit test and probability test to determine a common statistic hypothesis testing model, utilizing the properties of normal distribution. Secondly, it builds a VaR model via devising the expression of VaR and computer simulation, with the comparison of the results solved by above mentioned models. Afterwards, for study of the expression of measure of risk, relationship among the parameters M, L, 1-α and T is built based on above two mentioned models. In addition, models testing and evaluation are given. To sum up the above arguments, model stability and reliability are guaranteed via multi-assumption and testing.
Key words: mathematical statistics; VaR model; confidence probability; financial investment; earnings
发表期数: 2009年7月第13期
引用格式: 孙浩,刘扬,丁根宏. 基于历史数据分析金融投资风险的方法[J]. 中国科技论文在线精品论文,2009,2(13):1384-1391.
 
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