沪深300指数收益率VaR的计算
发布时间：2018-09-09 20:50
【摘要】：由于金融市场收益率的集聚性,自相关性以及尖峰厚尾的特征,经典的蒙特卡洛模拟法存在一定不足,本文以沪深300指数收益率为实证对象,在比较了常见的蒙特卡洛模拟方法结果的基础上,将蒙特卡洛模拟法与历史模拟法相结合,引入Box-Cox方法及Johnson转换法进行模拟计算,并对这种方法所得到的结果进行了分析,结果显示了这种想法的有效性.
[Abstract]:Due to the agglomeration of financial market yield, autocorrelation and the characteristics of peak and thick tail, the classical Monte Carlo simulation method has some shortcomings. This paper takes the yield of Shanghai and Shenzhen 300 index as the empirical object. On the basis of comparing the results of common Monte Carlo simulation methods, this paper combines Monte Carlo simulation method with historical simulation method, and introduces Box-Cox method and Johnson transformation method to simulate and calculate, and analyzes the results obtained by this method. The results show the validity of this idea.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
本文编号：2233529
[Abstract]:Due to the agglomeration of financial market yield, autocorrelation and the characteristics of peak and thick tail, the classical Monte Carlo simulation method has some shortcomings. This paper takes the yield of Shanghai and Shenzhen 300 index as the empirical object. On the basis of comparing the results of common Monte Carlo simulation methods, this paper combines Monte Carlo simulation method with historical simulation method, and introduces Box-Cox method and Johnson transformation method to simulate and calculate, and analyzes the results obtained by this method. The results show the validity of this idea.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
【参考文献】
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3 范英;股市风险值估计的EWMA方法及其应用[J];预测;2001年03期
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