对数正态分布的VAR数学模型及其计算  

VaR Mathematical Model and Its Computing Methods Under the Lognormal Distribution

作　　者：边宽江[1] 崔冰[1] 金晓燕[1] 刘红波[1] 程波[1] 袁志发[1] 

机构地区：[1]西北农林科技大学理学院,陕西杨凌712100

出　　处：《数学的实践与认识》2011年第1期1-6,共6页Mathematics in Practice and Theory

摘　　要：VaR(Value at Risk)是一种以规范的统计技术来度量市场风险的新标准,目前在金融数学领域被广泛使用,它是指在正常的市场条件和给定的置信度下,在给定的持有期间内,测度某一投资组合所面临的最大的潜在损失的数学方法.传统的VaR计算方法在计算开放式基金时,可能存在着低估风险的情况.着重论述了VaR模型的数学原理以及该模型的计算方法,运用对数正态分布假设来评估开放式基金的风险,以验证其结果是否更加接近实际风险值.VaR（Value at Risk） is a new criterion to measure the market risk by a standard statistical technology,and it is widely used in financial mathematics at present.It is a method to anticipate the most heavy loss under the normal market condition with the given confident level and time horizon.The traditional VaR computational method is used in calculating the open style fund,it may overestimate the risk.The value of risk we obtained under the lognormal distribution supposition must be more approach the actual value compared to under the normal distribution supposition.This paper especially study the mathematical theory and the computing methods of VaR model.Using the lognormal distribution supposition to appraise the risk of the open style fund,to confirm whether the result is even more approaches the real value of risk.

关 键 词：VAR 置信度 时间序列 对数正态分布 

分 类 号：O211.3[理学—概率论与数理统计]