风险价值VaR的检验

Test model for value at risk

根据风险价值的概念,提出了一个基于二点分布的检验模型,证明了存在一致最优（UMP）检验,并给出了检验的表达式、拒绝域。另外,考虑到金融数据的样本容量都比较大,又提出了基于渐近正态分布的检验模型,给出了检验的表达式,拒绝域,并与传统方法的结果作了比较。

The article presents a test model for value at risk based on binomial distribution. The existence of the Uniformly Most Powerful (UMP) Test is proved and the construction and rejection field of the test are given. Due to the large sample size of financial data, the article also presents another hypothetical test based on Asymptotic Normal Distribution. The comparison between the two models is discussed.