应用半参数方法计算市场风险的受险价值  

A Study of Value at Risk of Market Risk by Applying Semi-parametric Approach

作　　者：冯春山[1] 蒋馥[1] 吴家春[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《系统工程理论方法应用》2005年第4期379-381,共3页Systems Engineering Theory·Methodology·Applications

摘　　要：由于厚尾分布,通常基于正态分布假定的VaR参数法在99%置信水平下计量市场风险时会严重低估风险,文中提出了一种半参数方法。通过对石油市场收益数据的检验,在99%置信水平下,半参数方法的风险计量效果好于通常的参数方法。Because of the fat tail distribution, the market risk will be underestimated if using the usual parametric model, which is based on the normal distribution hypothesis, to compute the VaR under 99% likelihood level. This paper puts forward a semi-parametric approach to solve this problem, it is tested by the oil market return data. The empirical result shows that it is much better than the usual parametric model under the 99% likelihood level.

关 键 词：石油市场收益 受险价值 半参数法 

分 类 号：F764[经济管理—产业经济]