AEPD、AST和ALD分布下金融资产收益率典型事实描述与VaR度量

doi:10.16381/j.cnki.issn1003-207x.2015.02.003

中国管理科学 ›› 2015, Vol. 23 ›› Issue (2): 21-28.doi: 10.16381/j.cnki.issn1003-207x.2015.02.003

AEPD、AST和ALD分布下金融资产收益率典型事实描述与VaR度量

刘攀¹, 周若媚²

1. 西南财经大学证券与期货学院, 四川成都 611130;
2. 招商银行深圳分析, 广州深圳 518001

收稿日期:2013-01-13 修回日期:2013-09-17 出版日期:2015-02-20 发布日期:2015-02-28
作者简介:刘攀(1976-),女(汉族),四川成都人,西南财经大学证券与期货学院副教授,博士,研究方向:风险管理、国际金融.
基金资助:
中央高校基本科研业务费专项资金项目(JBK150952)

Description of the Typical Characteristics of Financial Asset's Yield Distribution and VaR Models Based on AEPD、AST and ALD Distribution

LIU Pan¹, ZHOU Ruo-mei²

1. Southwestern University of Finance and Economics, School of Securities and Futures, Chengdu 611130, China;
2. Shenzhen Branch, China Merchants Bank, Shenzhen 518001, China

Received:2013-01-13 Revised:2013-09-17 Online:2015-02-20 Published:2015-02-28

摘要/Abstract

摘要： 金融资产收益率分布具有"尖峰"、"肥尾"、"有偏"、"非对称"等典型事实,传统的正态分布、t分布、SKST分布无法完全描述这些特征,影响了以收益率分布设定为基础之一的参数法VaR模型度量的效果。近年来,理论界提出了AEPD、AST、ALD等分布来改善对金融资产收益率分布的描述。本文以沪深300指数为例,比较和分析了这些分布对金融资产收益率典型事实特征的描述及其在VaR度量效果上的差异。研究表明并非捕捉金融资产收益率分布典型事实越多的模型测度风险的效果越好:AEPD、 AST、ALD分布能较好地描述金融资产收益率的典型特征,但是在风险度量效果上却只能证明AEPD、AST分布绝对优于正态分布,而与SKST分布相比无明显差异; ALD分布在度量空头VaR时效果甚至比正态分布更差,但在计算低分位水平下的多头VaR值时却明显优于其他分布。

关键词: VaR, AEPD分布, AST分布, SKST分布, ALD分布

Abstract: The financial asset's yield distribution has some typical characteristics such as "leptokurtic", "fat tail","skewed" and "Asymmetry", but the traditional normal distribution, t distribution, SKST distribution cannot fully describe these characteristics, which has influenced the efficiency of parameter method of VaR models based on them. In recent years, the theoretical circle has proposed AEPD, AST, ALD and other distributions to improve the description of the financial asset's yield distribution. The CSI 300 index is choosed to analysis and compare the description on the typical characteristics of financial asset's yield distribution and also the measurement differences of VaR models based on them. The empirical results show that the more typical characteristics of financial asset's yield distribution the model captures, the better to measure VaR. It only proves that the measurement effects of the VaR models based on AEPD, AST distribution are absolutely better than the model based on normal distribution, but have no obvious difference with model based SKST distribution; Model based on ALD performs even worse when measuring the short VaR but performs best when measuring the long VaR under the low quantile.

Key words: VaR, AEPD, AST distribution, SKST distribution, asymmetric Laplace distribution

中图分类号:

F830.91

刘攀, 周若媚. AEPD、AST和ALD分布下金融资产收益率典型事实描述与VaR度量[J]. 中国管理科学, 2015, 23(2): 21-28.

LIU Pan, ZHOU Ruo-mei. Description of the Typical Characteristics of Financial Asset's Yield Distribution and VaR Models Based on AEPD、AST and ALD Distribution[J]. Chinese Journal of Management Science, 2015, 23(2): 21-28.

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AEPD、AST和ALD分布下金融资产收益率典型事实描述与VaR度量

Description of the Typical Characteristics of Financial Asset's Yield Distribution and VaR Models Based on AEPD、AST and ALD Distribution

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