机构地区: 广州大学理学院
出 处: 《广州大学学报(自然科学版)》 2003年第3期201-207,共7页
摘 要: 传统的金融风险度量 ,如方差、变异系数、市场风险 β ,VaR等均为纯统计意义下的度量 .虽然它们在一定程度上能够刻划金融风险的不确定性这一重要特征 ,但却忽略了这种不确定性后面的经济价值 .在A t_Sahalia和Lo工作的基础上 ,给出了一种新的金融风险度量———状态价格密度 (SPD) .通过局部多项式方法给出了SPD的非参数估计 ,获得了SPD估计的偏差和方差的精确表达式以及SPD估计的收敛速度 . State-Price Densities (SPD) were proposed by At-Sahalia and Lo (2000) to measure financial risks, which outperforms traditional measures for financial risks in which they incorporate economic valuations. In this paper, local high-order polynomial fitting is employed for the estimation of the SPD. Then SPD is used to measure value at risk (VaR). It is shown that the new VaR based on SPD is more reasonable than the traditional VaR. Simulations are done for Black-Schole models to assess the performance of our SPD estimators.