摘要
矩匹配方法是用来求解非线性风险度(ValueatRisk,简称:VaR)的一种普遍性方法,它是先假定样本经验分布服从已知分布族,然后运用矩匹配估计方法估计相应的参数,得到资产回报样本的密度函数,再计算风险度VaR;本文采用的Johnson分布族是矩匹配方法的直接应用,并且计算出来的结果与局部Monte Carlo结果进行了比较,并通过实证分析认为这种方法是一种良好的计算非线性VaR方法。
The moment-matching method is common to calculating the VaR(Value at Risk) of the portfolio including nonlinear positions.It is based on approximating the distribution of return by finding a distribution whose quantiles can be calculated. In this paper, the Johnson distributions family is applied to the method and fits the return data. The result is compared with the partial Monte-Carlo simulation method. Our simulation result and empirical studies confirm the newly proposed method.
出处
《运筹与管理》
CSCD
2005年第1期90-94,共5页
Operations Research and Management Science
