摘要
本文对深沪两市证券在条件回报服从一般误差分析 (GED)的假定下 ,进行了VaR的计算。探讨了在实现VaR风险监管中如何采用适当的内部模型。本文采用了从历史数据模拟的经济分布到GED的转换方法 ,对GED形状参数v进行了优化 ,与正态假定、和历史数据模拟 (HS)的方法进行比较 ,并采用VC ++编程 ,可以对任一上市证券快速地做出分析。
This paper has carried out a calculation of VaR(Value at Risk)for the securities listed in Shanghai and Shenzhen stock exchange under the presumption that conditional distribution obeys a general error distribution and discussed relevant internal models for VaR risk management.A transformation from the empirical distribution by historical simulation to GED was taken based on the fractile-to-fractile mapping process so as the shape parameter v was optimized.The comparisons of the results with normal distribution and HS were carried out.VC++ programming was adopted,it made the calculation respected to the listed securities relatively fast.
出处
《管理工程学报》
CSSCI
2003年第1期25-28,共4页
Journal of Industrial Engineering and Engineering Management
