| A New Method for the Decomposition of Portfolio VaR |
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| 作者姓名： | Xiangjin Tang Xinlin Wu |
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| 作者单位： | Department of Statistics, Wuhan University of Technology, Wuhan 430063, China |
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| 摘 要： |
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| 关 键 词： | 市场风险 投资 风险值 风险管理 |
| 收稿时间： | 2006-01-16 |
A New Method for the Decomposition of Portfolio VaR |
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| Xiangjin Tang Xinlin Wu.A New Method for the Decomposition of Portfolio VaR[J].Journal of Sysytems Science and Information,2006,4(4):721-727. |
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| Abstract: | In this paper, we give a new method of decomposing of portfolio VaR which are held with the hypotheses of non-normal distribution, based on the mutual relationships of marginal VaR, component VaR and Incremental VaR, and have the same results with decomposing of portfolio under the hypotheses of normal distribution. |
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| Keywords: | portfolio VaR marginal VaR component VaR incremental VaR g - h distribution |
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