VaR数学模型及其计算方法

VaR(Value at Risk)是一种以规范的统计技术来度量市场风险的新标准,目前在金融数学领域被广泛使用,它是在正常的市场条件下,给定一定时间区间和置信水平,测度最大损失的数学方法。传统的VaR计算方法在计算开放式基金时,可能存在着高估风险的情况,对数正态分布假设下得到的风险值(VaR)要比正态分布假设下的风险值更接近实际值。本文着重论述了VaR模型的数学原理以及该模型的计算方法,运用对数正态分布假设来评估开放式基金的风险,以验证其结果是否更加接近实际风险值。

VaR Mathematical Model and Its Computing Methods

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 overestimate 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 especially study the mathematical theory and the computing methods of VaR model.Using the logormal distribution supposition to appraise the risk of the open style fund,to confirm whether the result is even more approaches the real value of risk.