基于经验分布的条件VaR计算方法研究

Conditional VaR Based On Empirical Distribution

本文以基于股票价格的条件收益率为出发点,研究在不能确定价格P与收益率R的联合分布类型时,利用历史数据刻画其经验条件概率分布函数,并据此测算一定价格水平下的VaR值。本文的研究重点在于如何确定能近似描述价格Pt时收益率分布特征的最佳样本数据。

In this paper,we use the historical data to get the experiential distribution function of conditional revenue ratio when we can not determine the type of the allied distribution of the price and revenue ratio ,and then we calculate the VaR under a certain price level of the price. The emphasis in this paper is how to make the optimal samples that can approximately describe the distribution of the revenue ratio under a price level.