VaR Mathematical Model and Its Computing Methods
Bo Cheng · 2008
VaR(Value at Risk),is a new criterion to measure the market risk by a standard statistical technology,and it is widely used in financial mathematics at present.It is a method to anticipate the most heavy loss under the normal market condition with the given confident level and time horizon.The traditional VaR computational method is used in calculating the open style fund,it may overestimate the risk.The value of risk we obtained under the logormal distribution supposition must be more approach the actual value compared to under the normal distribution supposition.This paper especially study the mathematical theory and the computing methods of VaR model.Using the logormal distribution supposition to appraise the risk of the open style fund,to confirm whether the result is even more approaches the real value of risk.