A generalized confidence interval for Value-at-Risk

摘要：

Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is also required for regulatory purposes. Its popularity is partly due to the fact that it is an easily-understood measure of risk. The use of fiducial method allows us to get the fiducial distributions of parameters, and to obtain an accuracy confidence interval for value-at-Risk. A general procedure of generalized confidence interval based on fiducial distribution of parameters is proposed. Using this method, we get a theoretically accuracy confidence interval for value-at-risk. Simulation results indicate that the principle of the method is simple and performs well.

关键词： fiducial distribution generalized confidence interval value-at-risk

作者: Jianxin ZHAO Xingzhong XU Shuran ZHAO

作者单位: Department of Mathematics, School of Science Beijing Institute of Technology, Beijing 100081,China,N Department of Mathematics, School of Science Beijing Institute of Technology, Beijing 100081,China The Financial Department, Ocean University of China, Qingdao 266021,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 114-116

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）