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本文在跳扩散模型的基础上发展VaR计算方法。跳扩散模型是Merton对于扩散模型的一种统计推广,较多实证研究已经验证该模型能够更好的刻画资产价格尖峰厚尾的统计特征。本文将基于跳扩散模型的VaR计算方法应用于上证A股指数数据计算A股的VaR值,并进行VaR值回测检验。检验结果说明,用该方法计算VaR是有效、稳健的、同时是并不过分保守的。
This article develops the VaR calculation method based on the jump diffusion model. Jump-diffusion model is a statistical extension of Merton’s diffusion model. More empirical studies have verified that the model can better characterize the statistical characteristics of the peak-thick tail of asset prices. This article will be based on jump diffusion model of VaR calculation method applied to the Shanghai A-share index data to calculate the VaR value of A shares, and VaR backtesting test. The test results show that using this method to calculate VaR is effective and robust, while not overly conservative.