基于区间分析的投资组合VaR计算新方法

基于区间分析估计变量的累计概率分布是进行风险价值分析的一种新方法。本文将区间分析运用到股票投资组合的VaR计算中,研究区间分析在VaR计算方法中的应用。首先给出了基于区间分析估计分布函数的计算步骤,然后将区间分析运用到VaR的计算中,以两只股票的投资组合为例得出收益率的累计概率分布,从中得到某一置信度下的VaR值,最后与蒙特卡洛模拟方法做了比较研究,结果表明,基于区间分析的VaR计算方法的运算精度和计算速度明显优于蒙特卡洛模拟方法。

New Method of VaR about the Investment Portfolio based on Interval Analysis

Estimating the accumulative probability distribution of dependent variable based on Interval Analysis is the new method of value at risk analysis.The paper introduces interval analysis into VaR in the stock investment portfolio,and the application of interval analysis in VaR is studied.First,the estimation of distribution function based on interval analysis is proposed in details.Second,we apply it into the calculation of VaR,taking the portfolio of the two stocks as an example,and obtain the cumulative probability distribution of its rate of return,so as to get the VaR in some confidence level. Finally,we compare it with the method of Monte Carlo simulation.The result shows that the method of VaR based on interval analysis performs better than Monte Carlo simulation in both calculating accuracy and efficiency.