考虑事件风险的在险价值研究

Abstract

Abstract: A VaR method based on event risk is investigated in this paper,and empirical study on the index of Shanghai security market is made.In this method, event risk is described by random jumps,and the return series can be described by a jump-GARCH process whose parameters can be estimated by simulated annealing algorithm.By simulation method,the distribution of intending return and the VaR can be obtained simply.The empirical study on index of Shanghai security market shows it’s reasonable and necessary to incorporate event risk to VaR models.

Key words: value at risk, event risk, jump-diffusion process, simulated annealing, simulation method

CLC Number:

F830.49

ZHANG Li-bing, LIANG Yu, PAN De-hui. Study of Value at Risk Based on Event Risk[J]. Chinese Journal of Management Science, 2005, (2): 113-117.

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Study of Value at Risk Based on Event Risk

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