| 风险价值VaR的检验 |
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| 引用本文： | 杨永愉,杨凡. 风险价值VaR的检验[J]. 北京化工大学学报(自然科学版), 2002, 29(3): 87-90. DOI: 10.3969/j.issn.1671-4628.2002.03.024 |
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| 作者姓名： | 杨永愉 杨凡 |
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| 作者单位： | 1. 北京化工大学理学院,北京,100029;2. 明尼苏达大学统计系,MN,55455,USA |
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| 摘 要： | 根据风险价值的概念,提出了一个基于二点分布的检验模型,证明了存在一致最优(UMP)检验,并给出了检验的表达式、拒绝域.另外,考虑到金融数据的样本容量都比较大,又提出了基于渐近正态分布的检验模型,给出了检验的表达式,拒绝域,并与传统方法的结果作了比较.
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| 关 键 词： | 风险价值VaR 风险管理技术 左尾概率 UMP检验 拒绝域 |
| 修稿时间： | 2001-09-12 |
Test model for value at risk |
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| YANG Yong-yu YANG Fan. Test model for value at risk[J]. Journal of Beijing University of Chemical Technology, 2002, 29(3): 87-90. DOI: 10.3969/j.issn.1671-4628.2002.03.024 |
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| Authors: | YANG Yong-yu YANG Fan |
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| Affiliation: | 1. College of Science; Beijing University of Chemical Technology; Beijing; China; 2. School of Statistics; University of Minnesota; Minneapolis; MN 55455; USA |
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| Abstract: | The article presents a test model for value at risk based on binomial distribution. The existence of the Uniformly Most Powerful (UMP) Test is proved and the construction and rejection field of the test are given. Due to the large sample size of financial data, the article also presents another hypothetical test based on Asymptotic Normal Distribution. The comparison between the two models is discussed. |
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| Keywords: | value at risk risk management left tail probability UMP test rejection field |
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