A Comparative Study Of Different Index Portfolio VaR Model Based On Normal Distribution And T Distribution

摘要：

This paper constructs the VaR Model on the assumption that utilizing different distributions of the portfolio on different weighs adopting ADCC and Riskmetrics methods, and inspects it with dynamic coefficient method. The results show that ADCC model is more effective than Riskmetrics method for portfolio and risk management, furthermore, VAR based on normal distribution behaves better than that based on t distribution at 5 percents confidence level, while reversed at 1 percent confidence level.

关键词： VaR normal distribution t distribution

作者: ZHANG Ying

作者单位: Management College. Henan University of Technology Zhengzhou, China, 450001

会议类型: 国际会议

会议名称: 2010 International Conference on Management(2010管理国际大会)

会议地点: 上海

会议语种:英文

页码: 75-79

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）