VaR数学模型与其计算方法_刘红波.pdf

2008, 17(4) : 334-338 Acta Agriculturae Boreali-occidentalis Sinica * VaR数学模型及其计算方法 * 刘红波, 边宽江 , 程 波, 袁志发 ( , 712100) : VaR( Value at Risk) , ,, , VaR , , ( VaR) VaR , , : VaR; ; ; :F224.9 : A : 1004-1389(2008)04-0334-05 VaR Mathematical Model andIts Computing Methods * LI Hong-bo, BIAN Kuan-jiang , CHENG Bo and Y AN Zh-i fa ( College of Science, Northwest AF niversity , Yangling Shaanxi 712100, China) Abstract: VaR( Value at Risk) , is a new criterion to measure the market risk by a standard statistical technology, and it is widely used in financial mathematics at present. It is a method to anticipate the most heavy loss under the normal market condition with the given confident level and time horizon. The traditional VaR computational method is used in calculating the open style fund,it may overesti- mate the risk . The value of risk we obtained under the logormal distribution supposition must be more approach the actual value compared to under the normal distribution supposition. This paper es- pecially study the mathematical theory and the computing methods of VaR model. sing the logormal distribution supposition to appraise therisk of the open style fund, to confirm whether the result is e- ven more approaches the real value of risk. Key words: VaR; Confident level; Time series; Logarithm normal distribution VaR , , , (2003) VaR , , , , / ) 0 VaR