| CVaR、VaR应用在RAROC的比较研究 |
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| 引用本文： | 方毅,张屹山. CVaR、VaR应用在RAROC的比较研究[J]. 数理统计与管理, 2007, 26(1): 74-80 |
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| 作者姓名： | 方毅 张屹山 |
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| 作者单位： | 吉林大学商学院,长春,130012;吉林大学商学院,长春,130012 |
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| 摘 要： | 本文将CVaR引入到RAROC(R isk-Ad justed Return on Cap ital)中,进行绩效评价。而且,将CVaR与VaR的结果进行了比较。在正态分布的情况下,CVaR与VaR的RAPM(R isk-Ad justedPerform ance M easure)对于绩效评价都是充分的、可靠的、有效的,且两者是等价的。但在非正态的情况下,CVaR的RAPM相对于VaR的RAPM更加充分、谨慎、可靠、有效。我们运用Bootstrap方法进行了实证研究。
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| 关 键 词： | CVaR VaR RAROC RAPM Bootstrap |
| 文章编号： | 1002-1566(2007)01-0074-07 |
| 修稿时间： | 2005-06-05 |
RAROC: Using CVaR and Using VaR |
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| FANG Yi,ZHANG Yi-shan. RAROC: Using CVaR and Using VaR[J]. Application of Statistics and Management, 2007, 26(1): 74-80 |
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| Authors: | FANG Yi ZHANG Yi-shan |
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| Affiliation: | Business School of Jilin University, Chang Chun, 130012 |
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| Abstract: | The paper introduces CVaR into RAROC(Risk-Adjusted Return on Capital) to evaluate performance.And it compares the results of RAROC by using CVaR and using VaR.It can learn from that,in the condition of normal distribution,both the RAPM(Risk-Adjusted Performance Measure) by using CVaR and that by using VaR are sufficient,reliant and effective,and the two measures are equivalent.But the RAPM by using CVaR is more sufficient,more conservative and more reliant than that by using VaR in the condition of abnormal distribution.What's more,we do empirical study. |
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| Keywords: | CVaR VaR RAROC RAPM Bootstrap |
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