累积投资和利率为相关随机过程时的风险价值分析

Analysis of Value at Risk When Cumulative Investment and Interest Rate is Correlative Stochastic Processes

讨论了累积投资和利率为相关随机过程的风险价值,并提出相对风险价值的概念和计算,借助于Monte Carlo模拟分析了累积投资分布参数以及利率参数变化时对于相对风险价值的影响。

The calculation of value at risk when cumulative investment and interest rate is correlative stochastic processes is discussed, and the concept and its calculation of relative value at risk is proposed. The analysis of sensitiveness of relative value at risk to the change of parameters of cumulative investment and interest rate is carded out with the help of Monte Carlo simulation.