| 基于Generalized Kalman Filter的VaR估计 |
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| 引用本文： | 赵利锋,张崇岐.基于Generalized Kalman Filter的VaR估计[J].广州大学学报(自然科学版),2009,8(3). |
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| 作者姓名： | 赵利锋 张崇岐 |
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| 作者单位： | 广州大学数学与信息科学学院,广东,广州,510006 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 在应用Kalman Filter方法估计时变风险β系数的基础上,引入Generalized Kalman Filter方法来估计时变卢系数,再通过Sharp对角线模型计算投资组合的VaR,并运用Backtesting检验判断两方法估计VaR的精确度.
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| 关 键 词： | 在险价值 广义卡尔曼滤波 卡尔曼滤波 夏普β |
Estimating Value at Risk with the Generalized Kalman Filter |
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| ZHAO Li-feng,ZHANG Chong-qi.Estimating Value at Risk with the Generalized Kalman Filter[J].Journal og Guangzhou University:Natural Science Edition,2009,8(3). |
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| Authors: | ZHAO Li-feng ZHANG Chong-qi |
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| Affiliation: | School of Mathematics and Information Sciences;Guangzhou University;Guangzhou 510006;China |
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| Abstract: | In this paper,a new approach to estimate time-varying risk factor with the Generalized Kalman Filter is developed. This technique is compared with the Kalman Filter. We also compute VaR of the portfolio for Sharp diagonal model and estimate the accuracy of VaR using Backtesting test method. |
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| Keywords: | Value at Risk Generalized Kalman Filter Kalman Filter sharpe beta |
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