| VaR计算的MCMC模拟法 |
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| 引用本文： | 沈霞,赵国印,王利粉. VaR计算的MCMC模拟法[J]. 太原师范学院学报(自然科学版), 2010, 9(3) |
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| 作者姓名： | 沈霞 赵国印 王利粉 |
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| 作者单位： | 1. 云南师范大学,数学学院,云南,昆明,650092
2. 云南民族大学,数学与计算机科学学院,云南,昆明,650092 |
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| 摘 要： | 金融市场的快速发展使其出现了前所未有的波动性,因此金融风险监管对集体及个人都至关重要,而VaR又是现今金融风险度量的主要方法.目前常用的方法有:历史模拟法、分析法和MC模拟法,但在实施中存在很多严重的问题.文章采用MCMC模拟的方法计算VaR,并对上证指数进行实证分析,证实了MCMC比MC方法的优越性.
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| 关 键 词： | Gibbs抽样 |
MCMC Simulation Method of VaR Calculation |
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| Shen Xia,Zhao Guoyin,Wang Lifen. MCMC Simulation Method of VaR Calculation[J]. Journal of Taiyuan Normal University:Natural Science Edition, 2010, 9(3) |
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| Authors: | Shen Xia Zhao Guoyin Wang Lifen |
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| Affiliation: | Shen Xia1 Zhao Guoyin2 Wang Lifen1(1.School of Mathematics,Yunnan Normal University,Kunming 650092,2.Mathematics & Computer Science,Yunnan Nationalities University,China) |
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| Abstract: | With the rapid development of the financial market,the volatility have arisen up unprecedentedly.Therefore,financial risk management are of vital importance to collectives and individuals.Nowadays one of the main financial risk measurements is VAR,among which the main commonly used methods are:History Simulation Method,analysis and MC Simulation Method,but many serious problems still remain.The paper calculates the VAR by MCMC Simulation Method and makes an empirical analysis on certain Shanghai Securities ... |
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| Keywords: | VaR MCMC MC |
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