| 投资组合动态VaR风险度量 |
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| 引用本文： | 许启发.投资组合动态VaR风险度量[J].统计与信息论坛,2008,23(6):40-45,50. |
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| 作者姓名： | 许启发 |
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| 作者单位： | 天津大学,管理学院,天津,300072;山东工商学院,统计学院,山东,烟台,364005 |
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| 基金项目： | 国家自然科学基金
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中国博士后科学基金
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全国统计科研项目
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教育部社会科学基金 |
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| 摘 要： | 投资组合的VaR风险度量依赖于投资组合中金融资产间联合分布函数的确定，随着投资组合规模的扩大，其VaR的计算难度也不断加大。利用ICA可以将多元联合概率分布函数转化为一元概率分布函数乘积实现简化计算的特点，基于ICA的投资组合动态VaR风险度量方法和计算步骤，克服了多元非正态条件下VaR测算上的困难。实证研究表明，与EWMA模型法、MGARCH模型法相比，ICA法能够准确地度量投资组合动态VaR。
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| 关 键 词： | VaR 独立成分分析 动态 投资组合 |
| 文章编号： | 1007-3116(2008)06-0040-07 |
| 修稿时间： | 2008年2月18日 |
Dynamic Value at Risk Measure of Portfolio |
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| XU Qi-fa.Dynamic Value at Risk Measure of Portfolio[J].Statistics & Information Tribune,2008,23(6):40-45,50. |
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| Authors: | XU Qi-fa |
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| Institution: | XU Qi-fa(1. School of Management, Tianjin University, Tianjin 300072, China; 2. School of Statistics, Shandong Institute of Business and Technology, Yantai 264005, China) |
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| Abstract: | VaR measure of portfolio is depended on the joint distribution function of assets. With the size of the portfolio enlarged, it is difficult to calculate the VaR. According to the facts that the ICA method can be used to transform the joint distribution function to probability distribution function, we propose the measure methodology and process for dynamic VaR of portfolio through ICA. The trouble in measuring VaR under the circumstance of multivariate abnormal has been overcome by the methods proposed in the paper. In empirical analysis, compared to the method of EWMA model and MGARCH model, method of ICA can estimate the dynamic VaR of portfolio exactly. |
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| Keywords: | VaR independent component analysis dynamic portfolio |
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