Nonparametric Estimation of Value-at-Risk of Chinese Stock Market

Acta Scientiarum Naturalium Universitatis Pekinensis

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Nonparametric Estimation of Value-at-Risk of Chinese Stock Market

WU Guangxu¹ ,CHENG Qiansheng¹, PAN Jiazhu²

¹Department of Mathematics, School of Mathematical Sciences, Peking University, Beijing, 100871; ²Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing, 100871

Received:2003-04-01 Online:2004-09-20 Published:2004-09-20

中国股票市场风险值的非参数估计

吴光旭¹,程乾生¹,潘家柱²

¹北京大学数学学院数学系，北京，100871；²北京大学数学学院金融数学系，北京，100871

Abstract

Abstract: Continues-time finance model are discussed and modified for the purpose of estimating value-at-risk. Kernel method are applied to estimate price density and VaR of Shanghai Stock Index VaR. Comparing with VaR estimated from Black-Scholes geometric Brownian Motion hypothesis, the modified model is better.

Key words: Value-at-risk, price density, kernel smoothing

摘要： 用改进后的连续时间金融模型给出金融资产收益率的价格密度函数的非参数估计，计算了上证A股指数的VaR，与Black-Scholes密度函数下的VaR相比，得到较好的结果。

关键词: VaR, 价格密度, 非参数估计

CLC Number:

WU Guangxu ,CHENG Qiansheng,PAN Jiazhu. Nonparametric Estimation of Value-at-Risk of Chinese Stock Market[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

吴光旭,程乾生,潘家柱. 中国股票市场风险值的非参数估计[J]. 北京大学学报（自然科学版）.

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URL: https://xbna.pku.edu.cn/EN/

https://xbna.pku.edu.cn/EN/Y2004/V40/I5/696

Nonparametric Estimation of Value-at-Risk of Chinese Stock Market

中国股票市场风险值的非参数估计

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