风险价值的优化算法

发布时间：2018-06-06 07:29

本文选题：风险价值 + VaR　；参考：《吉林大学》2014年硕士论文

【摘要】：伴随着经济全球化,市场投资的自由化,20世纪末期国际各金融企业发生了一系列的经济危机,金融危机带来大部分企业的破产和数十亿的经济损失,金融市场存在的风险日益膨胀并越来越受到人们的重视在这种情况下,风险价值凭借其用途广泛、容易操作的显著特点,成为了计量风险价值的主流方法. 第一,介绍了风险价值VaR的三种基本方法,参数法、蒙特卡罗模拟法和历史模拟法,总结归纳了它们的基本思想、适用范围及优缺点. 第二,提出了计算风险价值VaR的树形算法,根据组合数的奇偶性和权数的正负性分了四种情形,并对每种情形给出实例进行验证并画图,讨论其可行性. 本篇文章所提出的树形算法是对已有的同类算法的改进和补充,使其使用范围更广泛,减少计算量和过多的参数估计.
[Abstract]:With the economic globalization and the liberalization of the market investment, a series of economic crises have taken place in the international financial enterprises in the late twentieth Century. The financial crisis has brought the bankruptcy of most enterprises and billions of economic losses. The risk of the financial market is growing increasingly and being paid more and more attention to the value of the risk. Its widely used and easy operation characteristics become the mainstream method of measuring value at risk.
First, the three basic methods of risk value VaR, the parameter method, the Monte Carlo simulation method and the historical simulation method, are introduced. The basic ideas, the scope of application and the advantages and disadvantages of these basic methods are summarized.
Second, a tree algorithm for calculating the value of VaR is proposed. According to the parity of the number of combinations and the positive and negative weight of weights, four cases are divided, and an example is given to verify and draw a picture to discuss the feasibility of each case.
The tree algorithm proposed in this article is an improvement and supplement to the existing similar algorithms, making it more widely used, reducing computation and overestimating parameters.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.59;F224

【参考文献】