基于蒙特卡洛模拟的VaR模型及其模拟实证对比研究

在对VaR模型基本思想介绍基础上,构建基于蒙特卡洛模拟的VaR计算模型,并结合Matlab2012a计算软件,分别计算基于随机模拟和历史模拟的金融市场VaR数值,并在同类型模拟方法下进行横向对比分析。研究结果表明:t分布模型在高置信水平条件下较标准正态分布模型具有更高的精度要求和优势,且对于金融收益率数据的表征更为合理科学;2013年我国股指期货市场结构较2012年发生较大程度变化,且系统风险有进一步扩大趋势。

A Comparative Study of VaR Model and Its Demonstration Based on Monte Carlo Simulation

Based on the introduction of VaR Model, this paper builds a VaR calculation model with Monte Carlo Simulation, calculates the VaR values in financial market by random simulation and historical simulation combining with Matlab 2012a calculation software and makes a lateral comparative analysis through the same type simulation. The result shows that, compared to the standardized normal distribution model, t distribution model has high precision requirement and advantage in the condition of the high confidence level and the characterization of financial returns is more reasonable. The structure of stock index futures market in 2013 has changed a lot and the system risk has the trend of being enlarged.