加权分布模型测算个股VaR

A New Model for Evaluating VaR——The Weig hted Distribution Model

本文在同时考虑企业的个性风险和企业将受到整个国家宏观经济形势影响的共性风险的基础上,用一种新的思路定权数,提出了用加权分布测算个股VaR的模型。并以在深圳股市上市的四家企业的股票收益率做实证分析和模型检验。结果表明:加权分布提高了原来的假设收益率分布服从单一分布下测算VaR的准确度,尤其对于个性风险较强的企业而言,加权分布模型是一种形式简单,而又较为精确的模型。

Each security has two sources of risk:market or sys-tematic risk,attributable to macroeconomic factors,and firm-specific risk.In this paper,a new model to measure the securi-ty risk by VaR is studied.In our Weighted Distribution Model both of the market risk and the firm-specific risk are consid-ered.The usual choice of normal and Student-t distributions for asset returns is replaced by weighted distribution to evaluate the VaR.It is showed that our model is more exact than traditional model.