摘要
VaR模型作为一种测量金融风险的有力工具 ,其模型的精确度检验是至关重要的。本文给出了若干种VaR模型的反馈检验方法。通过实证检验 ,结果表明混合Kupiec检验方法和简化的CD检验方法能有效鉴别模型的优劣。
VaR model is a powerful tool in measuring financial risks, and its accuracy testing is of essence. This paper presents a variety of feedback testing approaches to VaR model and indicates, through empirical tests, that mixed Kupiec testing and simplified CD testing can effectively evaluate a VaR model.
出处
《贵州财经学院学报》
2003年第4期17-19,共3页
Journal of Guizhou College of Finance and Economics
