| RiskMetrics模型评估与扩展 |
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| 引用本文： | 张术林,魏正红.RiskMetrics模型评估与扩展[J].数学的实践与认识,2009,39(5). |
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| 作者姓名： | 张术林 魏正红 |
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| 作者单位： | 1. 中山大学工商管理博士后科研流动站,广东广州,510075;广发证券博士后工作站,广东广州,510075
2. 深圳大学师范学院数学系,广东深圳,518000 |
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| 摘 要： | RiskMetrics是当今最为流行的风险度量模型,然而其基础假设-标准化收益服从正态分布,却备受置疑.放宽此假设,以更灵活的t分布,广义误差分布,混合正态分布,Johnson Su-正态,Pearson IV分布代替,建立了五种扩展的RiskMetrics模型.我们用沪深股市日收益数据进行实证比较分析,回测结果表明,扩展模型明显优于标准模型,而基于非对称分布假设的模型优于基于对称分布的模型.
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| 关 键 词： | 风险价值 RiskMetrics模型 t分布 广义误差分布 混合正态分布 Johnson Su-正态 PearsonIV分布 回测检验 |
RiskMetrics Model Based on Different Distribtuion |
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| ZHANG Shu-lin,WEI Zhen-hong.RiskMetrics Model Based on Different Distribtuion[J].Mathematics in Practice and Theory,2009,39(5). |
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| Authors: | ZHANG Shu-lin WEI Zhen-hong |
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| Abstract: | RiskMetrics is the most popular risk management model.But one of its basic assumptions,the standardized return following normal distribution,is in discussion.In this paper,the standard RiskMetrics model is expanded.The normal distribution is replaced by some more flexible distributions such as t,generalized error distribution,mixed normal,Johnson Su-normal and Pearson IV distribution.Our empirical comparison using stock daily return of china shows,the expanded models perform better than the standard,and the expanded models based on asymmetric distribution perform better than that based on symmetric distribution. |
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| Keywords: | Value-at-Risk RiskMetrics model t distribution generalized err distribution mixed normal distribution Johnson Su-normal distribution Pearson IV distribution Back-testing |
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