【作者】 王刚； 刘小茂；

【Author】 Wang Gang Liu Xiaomao(Math. Dept., Huazhong Univ. of Sci. and Tech., Wuhan, 430074, P.R., China)

【机构】 华中科技大学数学系；

【摘要】 根据VaR的基本原理,对VaR的有效性进行了讨论。关于VaR提出了一个基于二点分布的检验模型,证明了存在一致最优检验,并给出了检验的表达式和拒绝域,同时鉴于金融数据的庞大性,又提出了基于渐近正态分布的检验模型,给出了检验的表达式和拒绝域。更多还原

【Abstract】 According to the VaR (Value at Risk) basic principle, the validity of VaR is discussed. We put forward a testing modal based on (0,1) distribution model according to Advanced Mathematical Statistics which proves that there exists Uniformly Most powerful Test, and we give the expression of the test with rejection area. At the same time, due to the hugeness of the financial data, we put forward again a testing model based on the approximate normal distribution, giving the expression of the test with rejection area.更多还原