稳定分布下的VaR研究-学位论文管理系统.PDFVIP

1 VaR , . . , . , . , , , .Mandelbrot , , — - .- . : . , VaR . . VaR . : 1. . 2. VaR . 3. . 4. VaR VaR. VaR, . VaR , . . VaR , VaR . VaR , VaR . : ; ; ;VaR 2 Abstract Right investment decision requires reliable predictions of return and risk. Reliable predictions can only be obtained if the underlying statistical model tests on realistic assumptions.The distribution form of returns on financial assets has important implications on theoretical and empirical analysis in economics and finance.For example, assert portfolio and option pricing theories are typically based on distribution assumption that assert returns follows a normal distribu- tion. However,researchers have found through their studies that the empirical distributions of asset returns are probably skewed and moreover that they of- ten have ”fat-tails”,because of the extreme market moves which seem to occur more frequently than the normal distribution could predict.The first attack on the assumption that asset returns are normally distributed was made by Mandel- brot.Mandelbrot had not only rejected the normal assumption,but also proposed an alternative distribution for modeling asset returns.This is alpha-stable distri- butions that allows skewness and heavy tails.The stable distribution is able to capture the two mai