基于二维正态分布的条件VaR研究  

Conditional VaR Based on Two-Dimensional Normal Distribution

作　　者：肖春来[1] 柴文义[2] 刘喜波[1] 

机构地区：[1]北方工业大学理学院,北京100041 [2]中国人民大学统计学院,北京100872

出　　处：《数学的实践与认识》2007年第9期144-147,共4页Mathematics in Practice and Theory

摘　　要：基于条件收益率的VaR测算方法.在假定股票价格对数与收益率服从二维正态分布的基础上,对每一价格水平,得到条件收益率的分布特征,进而计算条件VaR值.通过分析证明了条件收益率分布与价格水平高低有关,一般价格升高会使条件收益率分布向左侧移动,反之向右侧平移.We research the method of VaR basedon the conditional revenue ratio in this paper. On the base of assuming logarithm of stock price and its revenue ratio obey two-dimension normal distribution, we get the statistical distribution characteristic of the conditional revenue ratio under each price level, and then calculate condition VaR. The research proves that the conditional revenue ratio has relation with the different price level, and the distribution of conditional revenue ratio will move towards the left with the price going up, otherwise towards the right.

关 键 词：条件收益率 条件VAR 二维正态分布 

分 类 号：O211.3[理学—概率论与数理统计]