基于logistic分布的在险价值计算方法

An improved VaR method based on the logistic distribution

针对Risk Metrics方法的不足,利用logistic分布对其进行了改进,并采用事后检验法对两种方法进行了比较,结果表明基于logistic分布的计算方法优于Risk Metrics方法.

A improved VaR method based on the logistic distribution was proposed,which overcomes some defects of Risk Metrics method.By empirical analysis,the logistic distribution can fit the heavy tail distribution better,and the forecasting effect of the VaR is better than that of the Risk Metrics method.