具有自相关效应的市场风险VaR历史模拟模型:注

The International Journal of Banking and Finance Pub Date : 2009-08-20 DOI:10.32890/IJBF2009.6.2.8395

Wantanee Surapaitoolkorn

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引用次数: 2

摘要

在新巴塞尔协议下，银行领域采用风险值法的现代市场风险模型可以采用不同的模拟形式。本文将历史仿真应用于VaR模型，比较了几何布朗运动(GBM)过程和Bootstrapping方法两种不同的方法。分析将使用相关图并检验自相关函数对股票收益的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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MARKET RISK VaR HISTORICAL SIMULATION MODEL WITH AUTOCORRELATION EFFECT: A NOTE

The modern market risk model using Value at Risk (VaR) method in the banking area under the BASEL II Accord can take different forms of simulation. In this paper, historical simulation will be applied to the VaR model comparing the two different approaches of Geometric Brownian Motion (GBM) process and Bootstrapping methods. The analysis will use correlation plots and examine the effects of the autocorrelation function for stock returns.

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The International Journal of Banking and Finance

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