基于t-分布下外债利率风险的VaR度量模型  

VaR Model of Interest Rate Risk upon Foreign Debt Based on T-distribution

作　　者：王福重[1] 焦继文[2] 

机构地区：[1]北京航空航天大学,北京100083 [2]山东大学,济南250100

出　　处：《金融研究》2006年第12期33-38,共6页Journal of Financial Research

摘　　要：在直接假定金融变量服从具有较厚尾部的t-分布条件下,本文推导出了债务国在期初以固定利率举借外债时所面临的利率变动的风险损失函数,并求出了作为随机变量的损失函数的递推形式的密度函数和分布函数,进而给出了计算VaR所需要的分位点的确定方法。最后构造出了基于t-分布条件下的连续n个时期的固定利率债务的利率风险的VaR测度公式,以期能够提供一种计算债务利率变动风险的VaR的可择途径。Value-at-Risk（VaR） is a popular financial risk measurement tool in international financial markets. This paper, supposing that financial variables obeying t-distributions with thicker tails than a normal distribution and that the host nations borrow one foreign currency at the fixed rates at the beginning of the loan duration, deduces the risk losses function of international interest rates changing debtor countries will face, and gets the recurrent density functions and distribution functions of loss function as a random variable; therefore the method to confirm quantile for computing VaR is given; and finally, we construct the VaR measurement formula of continuous n periods＇ fixed interest rate debt risks based on t-distributions, and hope to provide an alternative method for the VaR computation of interest rate changing risks.

关 键 词：债务 利率风险 损失函数 T-分布 VAR 

分 类 号：F830[经济管理—金融学] F224