VaR准确性检验的贝叶斯方法

VaR accurate examination Baye's theorem

文章对VaR准确性检验的失败检验法进行了分析,提出了一种新的失败检验法,即贝叶斯检验法。并与传统的正态近似法和Kupiec检验法进行了比较,说明了贝叶斯检验法的合理之处。

In this paper, the failure test of the VaR accuracy test is analysed and a new failure test is given, that is Bayesian test. Compared to the traditional normal approximation method and Kupiec test,We illustrate that the Bayesian test is more reasonable.