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基于区间分析估计变量的累计概率分布是进行风险价值分析的一种新方法。本文将区间分析运用到股票投资组合的VaR计算中,研究区间分析在VaR计算方法中的应用。首先给出了基于区间分析估计分布函数的计算步骤,然后将区间分析运用到VaR的计算中,以两只股票的投资组合为例得出收益率的累计概率分布,从中得到某一置信度下的VaR值,最后与蒙特卡洛模拟方法做了比较研究,结果表明,基于区间分析的VaR计算方法的运算精度和计算速度明显优于蒙特卡洛模拟方法。
The cumulative probability distribution of estimated variables based on interval analysis is a new method for risk value analysis. In this paper, the interval analysis is applied to VaR calculation of stock portfolio to study the application of interval analysis in VaR calculation method. Firstly, the calculation step of estimating the distribution function based on interval analysis is given. Then, the interval analysis is applied to the calculation of VaR. Taking the portfolio of two stocks as an example, the cumulative probability distribution of the return rate is obtained, from which a certain confidence level The VaR value is compared with the Monte Carlo simulation method. The results show that the VaR calculation method based on interval analysis has better computational accuracy and computational speed than the Monte Carlo simulation method.