金融市场风险测量模型VaR分析方法的改进研究

摘要

分析方法是金融市场风险测量方法中最为常用的方法.它利用证券组合的价值函数与市场因子间的近似关系、市场因子的统计分布（方差-协方差矩阵）简化VaR的计算.针对分析方法对分布的正态性假定与实际不符,也存在着GARCH参数估计的难度等的缺陷,讨论了分析方法的一些有效的改进途径,提高了VaR的估算精度.%Analytical method is the most common way that measures financial market risk,which makes use of its connection approximately among cost function of portfolio,market factors and its statistical distribution named variance-covariance matrix and simplifies the numeration of VaR.The analytical method to its distribution that has assumption of normality and does not match with the actual,on the other side,the method exist the defect of GARCH parameter estimation’s difficulty.The paper discusses some effective ways of improvement and enhances estimate’s precision of VaR.