基于随机波动模型的VaR的计算

A Calculation of VaR Based on SV Model

简单介绍了VaR的含义及计算方法,指出推测市场因子的波动情况时计算VaR的关键。首次将随机波动SV模型应用于VaR的计算,说明了基于SV模型下的VaR之更具有动态性和准确性。做实验分析结果表明,SV模型准确反映了市场因子的波动情形,此时的VaR更贴切的反映了金融市场的风险水平。

This paper reviews the meaning and calculating method of Value at Risk and point out the importance of predicting the volatility of market factor for calculating VaR.We use SV model to define the volatility which meeded to estimate VaR and demonstrate the superior.The experimental research manifest that the SV model predict the volatility of market return perfectly and the following VaR reflect the risk level of Chinese stock market properly.