基于二维t分布的条件VaR研究  

Conditional VaR Based on Two-Dimensional t Distribution

作　　者：杨桂君[1] 肖春来[1] 常京宏 

机构地区：[1]北方工业大学理学院,北京100144 [2]张家口学院,河北张家口075000

出　　处：《数学的实践与认识》2014年第10期104-107,共4页Mathematics in Practice and Theory

摘　　要：根据多元t分布的定义及性质,推导出二维t分布随机变量差的条件分布仍服从t分布.在假定股票价格对数与收益率服从二维t分布的基础上,利用该性质,可以得到不同股票价格水平条件下,收益率的一维条件t分布,进而计算出价格条件VaR.利用多元t分布研究价格条件的收益率分布问题,与正态分布相比,较好地刻画了证券收益率分布的尖峰厚尾现象.Based on the definition and properties of multivariate t distribution,this paper deduced the conclusion that conditional distribution of the random variable differential from the two-dimensional t distribution still obeys t distribution.We obtained the one-dimensional conditional t distributions of stock return in different stock price levels on the assumption that stock price logarithmic and return obey two-dimensional t distribution,and then determine price conditions VaR by calculating.Compared with normal distribution,the solution in this paper better characterizes the leptokurtic and thick tail properties of stock return distribution.

关 键 词：条件收益率 条件VAR 二维t分布 

分 类 号：F830.91[经济管理—金融学] O211.3[理学—概率论与数理统计]