摘要
计算VaR的方法有很多种,例如分析方法、历史模拟法和MC模拟法,但是当资产组合有很多种时,计算量都相当大。本文在理论证明的基础上,给出了可以大大减少参数估计和计算量的投资组合VaR新算法--树形法,最后本文以深圳交易所八支股票的实例验证了树形法的有效性,并给出了树形图。
There are many methods of calculating VaR, such as analysis method, history simulation and Monte, carlo simulation . However, it is very difficult when the number of investment combination is large. In this paper we give the new calculating method on the investment, which can greatly reduce the parameter and calculation on the basis of the theory proved - - the tree - shaped calculating methods . At last we can prove that this method is very efficient by a practical example of Shanghai Stock Exchange.
出处
《长春理工大学学报（自然科学版）》
2007年第2期115-118,共4页
Journal of Changchun University of Science and Technology(Natural Science Edition)
关键词
投资组合
风险价值
树形法
investment combination
risk value
tree -shaped calculating method
