| 基于Bayes估计的金融风险值——VaR计算 |
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| 引用本文： | 钟波,汪青松.基于Bayes估计的金融风险值——VaR计算[J].数理统计与管理,2007,26(5):881-886. |
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| 作者姓名： | 钟波 汪青松 |
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| 作者单位： | 重庆大学数理学院统计与精算科学系,重庆,400044 |
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| 摘 要： | 初步研究了用Bayes估计计算金融风险值VaR,同时阐明了运用极值理论方法在Bayes估计下的金融风险值计算。并且借助统计计算方法——MCMC算法来求解参数的Bayes估计,有效的将Bayes思想融入到了VaR的计算中。用Bayes估计计算金融风险值VsR,可以帮助投资者将观测数据和自己所掌握的经验信息对VaR模型进行调整,使得vsR模型能够更准确地反映出金融市场的风险状况,据此做出更加正确的投资决策。
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| 关 键 词： | Bayes估计 VsR MCMC 极值理论 电力市场 |
| 文章编号： | 1002-1566（2007）05-0881-06 |
| 修稿时间： | 2006-08-25 |
Calculating Value at Risk by Using Bayes Estimation |
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| ZHONG Bo,WANG Qing-song.Calculating Value at Risk by Using Bayes Estimation[J].Application of Statistics and Management,2007,26(5):881-886. |
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| Authors: | ZHONG Bo WANG Qing-song |
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| Institution: | Department Of StatistiCS and Actuarial Science, college Of Mathematics and Science,Chongqing University;Chongqing;40004d China |
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| Abstract: | The paper considers how to calculate VaR(Value at Risk) by using Bayes estimation,and analyze to use method of Extreme Value Theory calculate VaR when we use Bayes estimation.What's more,we also use MCMC algorithm in order to calculate parametric Bayes estimation.The approach combines Bayesian statistics with calculation of VaR The approach also helps investor adjust VaR model by sample and prior information controlled.Then,this VaR model efficiently reflects characteristic of financial market.So its application to the calculation of VaR will efficiently help the investor make more correct investment decisions. |
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| Keywords: | VsR MCMC |
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