考虑事件风险的在险价值研究  

Study of Value at Risk Based on Event Risk

作　　者：张利兵[1] 梁妤[1] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《中国管理科学》2005年第2期113-117,共5页Chinese Journal of Management Science

基　　金：辽宁省自然科学基金资助项目(002012)

摘　　要：本文讨论了考虑事件风险的资产的在险价值方法,并以此对上海股票指数作了实证研究。这种方法用跳跃来描述事件风险,用跳跃-扩散过程来描述收益率过程。通过模拟退火算法来估计模型参数,利用随机模拟方法求得资产收益率的模拟分布,进而计算组合的在险价值。通过对上海指数的实证研究表明,资产的事件风险是不可忽略的,考虑事件风险的在险价值更加合理。A VaR method based on event risk is investigated in this paper,and empirical study on the index of Shanghai security market is made.In this method, event risk is described by random jumps,and the return series can be described by a jump-GARCH process whose parameters can be estimated by simulated annealing algorithm.By simulation method,the distribution of intending return and the VaR can be obtained simply.The empirical study on index of Shanghai security market shows it's reasonable and necessary to incorporate event risk to VaR models.

关 键 词：在险价值 事件风险 跳跃-扩散过程 模拟退火 随机模拟 

分 类 号：F830.49[经济管理—金融学]