| 金融市场风险测量模型VaR分析方法的改进研究 |
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| 引用本文： | 刘红玉.金融市场风险测量模型VaR分析方法的改进研究[J].甘肃高师学报,2012,17(5):88-90. |
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| 作者姓名： | 刘红玉 |
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| 作者单位： | 陇南师范高等专科学校,甘肃成县742500 兰州大学数学与统计学院,甘肃兰州730000 |
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| 摘 要： | 分析方法是金融市场风险测量方法中最为常用的方法.它利用证券组合的价值函数与市场因子间的近似关系、市场因子的统计分布(方差-协方差矩阵)简化VaR的计算.针对分析方法对分布的正态性假定与实际不符,也存在着GARCH参数估计的难度等的缺陷,讨论了分析方法的一些有效的改进途径,提高了VaR的估算精度.
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| 关 键 词： | VaR 分析方法 人工智能方法 分布拟合法 极大似然估计 |
Improvement Study on Financial Market Risk Measurement Model VaR of Analytical Method |
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| LIU Hong-yu.Improvement Study on Financial Market Risk Measurement Model VaR of Analytical Method[J].Journal of Gansu Normal College,2012,17(5):88-90. |
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| Authors: | LIU Hong-yu |
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| Institution: | LIU Hong-yu1,2(1.Longnan Teachers College,Chengxian Gansu 742500;2.Lanzhou University,Lanzhou Gansu 730000) |
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| Abstract: | Analytical method is the most common way that measures financial market risk,which makes use of its connection approximately among cost function of portfolio,market factors and its statistical distribution named variance-covariance matrix and simplifies the numeration of VaR.The analytical method to its distribution that has assumption of normality and does not match with the actual,on the other side,the method exist the defect of GARCH parameter estimation’s difficulty.The paper discusses some effective ways of improvement and enhances estimate’s precision of VaR. |
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| Keywords: | VaR analytical method artificial intelligence approach distribution fitting maximum likelihood estimation |
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