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基于历史模拟法的VaR计算及其优化

发表时间:2011-07-15  浏览量:1739  下载量:727
全部作者: 陈玉峰,孙洪祥,温巧燕
作者单位: 北京邮电大学网络与交换技术国家重点实验室;北京邮电大学理学院
摘 要: 在分析历史模拟法计算风险价值(value at risk,VaR)的基础上,通过增加权重、波动率等提高VaR的精确度。最后,讨论应用极值理论改善VaR的估计,极值理论可以使历史数据得到的VaR体现整个尾部的形状。
关 键 词: 应用数学;风险价值;历史模拟法;极值理论
Title: Computation of VaR and its optimization based on historical simulation method
Author: CHEN Yufeng, SUN Hongxiang, WEN Qiaoyan
Organization: State Key Laboratory of Networking and Switching Technology, Beijing University of Posts and Telecommunications; School of Science, Beijing University of Posts and Telecommunications
Abstract: The paper analyzes the computation of value at risk (VaR) by historical simulation method, and improves the precision of VaR by increasing weights and fluctuation ratio. It also discusses the improvement of VaR estimation by extreme value theory, which makes VaR obtained by using historical data give the shape of the whole tail.
Key words: applied mathematics; value at risk; historical simulation method; extreme value theory
发表期数: 2011年7月第13期
引用格式: 陈玉峰,孙洪祥,温巧燕. 基于历史模拟法的VaR计算及其优化[J]. 中国科技论文在线精品论文,2011,4(13):1231-1237.
 
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