| 累积投资和利率为相关随机过程时的风险价值分析 |
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| 引用本文： | 毛宏.累积投资和利率为相关随机过程时的风险价值分析[J].上海第二工业大学学报,2008,25(1):14-17. |
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| 作者姓名： | 毛宏 |
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| 作者单位： | 上海第二工业大学经济管理学院,上海,201209 |
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| 摘 要： | 讨论了累积投资和利率为相关随机过程的风险价值，并提出相对风险价值的概念和计算，借助于Monte Carlo模拟分析了累积投资分布参数以及利率参数变化时对于相对风险价值的影响。
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| 关 键 词： | 风险价值 相对风险价值 随机过程 MONTE CARLO模拟 |
| 文章编号： | 1001-4543(2008)01-0014-04 |
| 修稿时间： | 2007年8月20日 |
Analysis of Value at Risk When Cumulative Investment and Interest Rate is Correlative Stochastic Processes |
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| MAO Hong.Analysis of Value at Risk When Cumulative Investment and Interest Rate is Correlative Stochastic Processes[J].Journal of Shanghai Second Polytechnic University,2008,25(1):14-17. |
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| Authors: | MAO Hong |
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| Affiliation: | MAO Hong (School of Economics and Management, Shanghai Second Polytechnic University, Shanghai 201209, P.R.China) |
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| Abstract: | The calculation of value at risk when cumulative investment and interest rate is correlative stochastic processes is discussed, and the concept and its calculation of relative value at risk is proposed. The analysis of sensitiveness of relative value at risk to the change of parameters of cumulative investment and interest rate is carded out with the help of Monte Carlo simulation. |
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| Keywords: | value at risk relative value at risk stochastic processes Monte Carlo simulation |
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