转点识别在VaR估计中的应用

The Application of Change Point Theory in the Estimation of VaR

本文深入分析了VaR估计结果对市场比率运动规律假设的依赖性 .文献 [1 ],[2 ][4 ]都没有考虑市场因素出现结构性的转变对VaR估计的影响 .事实上 ,市场因素受到其它各种因素的影响 ,很可能发生结构性的转变 .故本文在引入转点识别的基础上对VaR估计方法作出改进 ,从而把市场因素结构性转变引入到VaR估计之中 ,且随机模拟实验结果表明引入转点后的预报有更高的可信度 .

At present,all value at risk(VaR)implementations are based on the assumption that the portfolio mix will not change before the VaR horizon,such as,,.This hypothesis may be unrealistic.At the opposite,we measure VaR dynamically,using the theory of change point.And find that the improved model be more reliability than the traditional one in our simulation experiment.