| 基于logistic分布的在险价值计算方法 |
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| 引用本文： | 李夫明,陈波.基于logistic分布的在险价值计算方法[J].山东理工大学学报,2008,22(6). |
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| 作者姓名： | 李夫明 陈波 |
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| 作者单位： | [1]山东理工大学理学院 [2]山东理工大学计算机科学与技术学院 |
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| 摘 要： | 针对Risk Metrics方法的不足,利用logistic分布对其进行了改进,并采用事后检验法对两种方法进行了比较,结果表明基于logistic分布的计算方法优于Risk Metrics方法.
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| 关 键 词： | 在险价值 logistic分布 RiskMetrics方法 事后检验法 |
An improved VaR method based on the logistic distribution |
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| LI Fu-ming,CHEN Bo.An improved VaR method based on the logistic distribution[J].Journal of Shandong University of Technology:Science and Technology,2008,22(6). |
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| Authors: | LI Fu-ming CHEN Bo |
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| Abstract: | A improved VaR method based on the logistic distribution was proposed,which overcomes some defects of Risk Metrics method.By empirical analysis,the logistic distribution can fit the heavy tail distribution better,and the forecasting effect of the VaR is better than that of the Risk Metrics method. |
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| Keywords: | value at risk logistic distribution Risk Metrics method backtesting |
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