基于历史模拟法的VaR计算及其优化
History Simulation Computing of VaR and Its Optimization
VaR是20世纪90年代初期开始发展起来的一种金融市场风险测量方法，近来已经成为金融机构的一个重要的管理测度，VaR的计算有多种方法而历史模拟法是计算VaR最流行的一种方法，本文在分析历史模拟法计算VaR的基础上，通过增加权重、波动率等来提高VaR的精确度。最后讨论应用极值理论来改善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。
s a financial market risk measure method,VaR(Value-at-Risk)appeared at the early part of 1990's.The risk management technique about VaR is a statistical model and method used to estimate and measure finance finance market risk. A traditional computing method of VaR is History Simulation,has been introduced in detail. This paper aims at improving the applicability and precision of VaR by using the knowledge of Extreme value theory and etc.
温巧燕、陈玉峰、孙洪祥
财政、金融
VaR历史模拟法极值理论
VaR（Value-at-Risk）Historical simulation methodextreme value theory(EVT)
温巧燕,陈玉峰,孙洪祥.基于历史模拟法的VaR计算及其优化[EB/OL].(2010-12-07)[2025-08-05].http://www.paper.edu.cn/releasepaper/content/201012-150.点此复制
评论