EXPLORING THE ROLE OF STATISTICAL PROCESS CONTROL IN VALUE-AT-RISK METHOD

摘要

In this paper, we explore if statistical process control (SPC) methods that are popular in qualitycontrol can be employed in risk control, specifically, value-at-risk (VaR). SPC has a much longerhistory than VaR, hence the opportunities of transplantation are rich.. We will propose the designof lamda chart to capture the non-normality of variables for the possible use in Value-at-risk.Although many aspects of our exploration are immature, we hope the following discussion canhelp to find better ways of risk control.