VaR度量金融风险的几个问题

Problems in measuring financial risks with VaR

针对VaR模型中的delta-正态模型的计算,分析了其中存在的几个问题并进行了改进。结果认为,用区间估计替代点估计可以提高VaR值的有效性;在用CAPM模型计算股票资产的可能损失时,不能丢失常数项,否则计算值偏大。另鉴于传统VaR模型不能评估市场因子变化时资产损失发生的概率,现基于高维正态分布的计算方法提出了用VaR度量金融市场风险的新方法。

The article puts forward some problems in the model of Delta-Normal of VaR and gives some improvements.Instead of point estimate,interval estimate may improve the effect of VaR;When calculating the probable loss of stock with CAPM model the constant can't be lost,or the VaR will be larger.Because the traditional VaR can't calculate the probability of the loss of the asset when the market factors change,based on the calculation of multi-dimension Normal distribution,a new VaR which measures financial risks is proposed.