摘要
将CVaR引入到常用RAROC模型中,以2006年到2009年的数据对我国开放式基金进行绩效评价.计算CVaR和VaR时都采用新的方法即运用GARCH,EGARCH,PARCH模型和残差服从T和GED分布的组合来计算,接着通过返回测试提高VaR和CVaR精度,并且将CVaR与VaR的结果都进行测试比较.经过实证检验,基于CVaR的RAROC更准确地衡量了风险,提高了精确度,为基金投资者提供了一个很好的业绩参考指标.
The RAROC model which will be improved in this article with taking CVaR into can evaluate the performance of Chinese open-end funds with three and a half years of data from 2006 to 2009. The calculations of VaR and CVaR are in new methods,in calculating the combination of the GARCH, EGARCH,PARCH models and the residuals subjected to T and GED distributions,then through the return of the test to improve the accuracy of VaR and CVaR,the results of VaR and CVaR are compared to test.Through empirical testing,the accuracy of RAROC based on CVaR increases,more accurate ranking,that provides a a very good indicator of the performance for investors.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2010年第8期1403-1413,共11页
Systems Engineering-Theory & Practice
基金
国家社会科学基金(07BJY0164)
教育部高等学校优秀青年教师研究基金(07JC790046)
