数值分析方法在VAR中的应用

Application of Numerical Analysis in VAR

针对VAR方法低估风险和压力测试方法分类错综复杂的缺陷,开发了一种估计风险的新方法。应用数值分析中的插值方法,拟合系统压力测试方法得出的数值点来修改VAR方法中的正态分布曲线,从而得到新的VAR,命名为SVAR。实证研究表明,SVAR方法较Delta-正态方法和GARCH(1,1)方法更为优越。

VAR often underestimates the risks and complexity of stress testing.A new method was developed for risk estimating.The sub-interpolation method in numerical analysis was adopted to fit the value points derived from the system pressure test and to modify the normal distribution curve in the VAR.New VAR was then obtained and it was named SVAR.In the empirical researches,the SVAR was compared with Delta-normal method and GARCH（1,1） method.The SVAR method is superior to the other two methods.