| 运用基于Bayes估计的阈值模型计算VaR |
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| 引用本文： | 钟波,陈珂. 运用基于Bayes估计的阈值模型计算VaR[J]. 北京工商大学学报(自然科学版), 2008, 26(5) |
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| 作者姓名： | 钟波 陈珂 |
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| 作者单位： | 重庆大学数理学院,重庆,400044 |
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| 摘 要： | 为了克服用于计算金融风险VaR的阈值模型中数据匮乏的困难,将Bayes方法用于模型参数的估计,建立了基于Bayes估计的新的阈值模型,同时借助了MCMC方法计算Bayes估计值.最后对上证综指做了实例分析,结果说明新模型是有效的.
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| 关 键 词： | 极值理论 Bayes估计 MCMC VaR |
CALCULATING VAR USING POT MODELING BASED ON BAYES ESTIMATION |
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| ZHONG Bo,CHEN Ke. CALCULATING VAR USING POT MODELING BASED ON BAYES ESTIMATION[J]. Journal of Beijing Technology and Business University:Natural Science Edition, 2008, 26(5) |
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| Authors: | ZHONG Bo CHEN Ke |
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| Affiliation: | ZHONG Bo,CHEN Ke(College of Mathematics , Physics,Chongqing University,Chongqing 400044,China) |
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| Abstract: | For conquering the difficuty that lacking for data appeared when calculating financial risk VaR using POT modeling,Bayes method was used to estimate the parameter of POT modeling,and a new POT modeling based on Bayes estimation was gained.Simultaneously,MCMC method was used to calculate the value of Bayes estimation.In the end,the new modeling proved to be effective through analysing Shanghai Composite Index. |
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| Keywords: | MCMC VaR |
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