基于分形市场假设下的VaR计算

    The Calculation of VaR Based on FMH

    • 摘要: 作者在资本市场是分形市场的假设下,给出了分数布朗运动的参数估计方法以及这些参数所反映的证券市场的不同特征;在资产价格变化服从分数布朗运动的假设下,得到了资产的VaR值计算方法,定量刻画了不同资产的风险暴露程度。

       

      Abstract: The author estimates some parameters of fractional Brownian motion under the hypothesis that a capital market is a fractal structure.Assuming that security price is subject to fractional Brownian motion,we explain parameters;meaning of the model and show how to calculate var of a portfolio describing quantitatively the exposure of assets to market risks.

       

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