CAJ | 학술논문

Var（Value at Risk,译为风险价值）是一种利用统计思想对市场风险进行估值的方法.通常的模型和方法要对收益的整个分布建模,需要将分布的中心和腰部数据都考虑进来,而Var只关心分布的尾部,尾部分布的建模具有一定的粗略性,这样就会造成模型的设定偏误,带来Var估计的不准确.讨论了尾部分布为标准正态分布的Var模型的解的存在性,在理论上给出了风险投资组合的最佳投资比例及风险的最小值.
Var（Value at Risk,역위풍험개치）시일충이용통계사상대시장풍험진행고치적방법.통상적모형화방법요대수익적정개분포건모,수요장분포적중심화요부수거도고필진래,이Var지관심분포적미부,미부분포적건모구유일정적조략성,저양취회조성모형적설정편오,대래Var고계적불준학.토론료미부분포위표준정태분포적Var모형적해적존재성,재이론상급출료풍험투자조합적최가투자비례급풍험적최소치.
Var is a thought of market risk using statistical method of valuation.The usual models and methods often build a model with the entire distribution of income,which needs to consider the distribution of centers and waist data,but Var only take into account the tail distribution of the measurement of quantitative and qualitative characteristics,therefore Var has been adopted by many financial and regulatory institutions.But the tail distribution of the model has some inaccuracies,this will form the set bias caused by model and cause the estimated result inaccurate.This article discusses the solution to the existence of the Var model with the tail distribution standard normal distributed and gives the best investment portfolio risk and risk ratio of the minimum in theory.