英文标题：
《calculation worst-case Value-at-Risk prediction using empirical data
  under model uncertainty》
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作者：
Wentao Hu
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最新提交年份：
2019
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英文摘要：
  Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also referred to as model ambiguity. Although we know the family of models, we cannot precisely decide which one to use. Given the set $\\mathcal{P}$, the value of the risk measure $\\rho$ varies in a range over the set of all possible models. The largest value in such a range is referred to as a worst-case value, and the corresponding model is called a worst scenario. Value-at-Risk(VaR) has become a very popular risk-measurement tool since it was first proposed. Naturally, WVaR(worst-case Value-at-Risk) attracts the attention of many researchers. Although many literatures investigated WVaR, the implications for empirical data analysis remain rare. In this paper, we proposed a special model uncertainty market model to simply the $\\mathcal{P}$ to a set contain finite number of probability distributions. The model has the structure of the two-layer mixed distribution model. We used change point detection method to divide the returns series and then used EM algorithm to estimate the parameters. Finally, we calculated VaR, WVaR(worst-case Value-at-Risk) and BVaR(best-case Value-at-Risk) for four financial markets and then analyzed their different performance.
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中文摘要：
从外部监管和内部管理的角度来看，量化模型不确定性下的风险头寸至关重要。模型不确定性的概念，有时也称为模型模糊性。虽然我们知道模型系列，但我们无法准确决定使用哪一个。给定集合$\\数学{P}$，风险度量$\\ rho$的值在所有可能模型集合的范围内变化。该范围内的最大值称为最坏情况值，相应的模型称为最坏情况。自风险价值（VaR）首次提出以来，它已成为一种非常流行的风险度量工具。自然，WVaR（最坏情况下的风险值）吸引了许多研究人员的注意。虽然许多文献研究了WVaR，但对实证数据分析的影响仍然很少。本文提出了一种特殊的不确定性市场模型，将$\\数学{P}$简化为一个包含有限个概率分布的集合。该模型具有双层混合分布模型的结构。我们使用变化点检测方法对收益序列进行分割，然后使用EM算法对参数进行估计。最后，我们计算了四个金融市场的VaR、WVaR（最坏情况风险值）和BVaR（最佳情况风险值），并分析了它们的不同表现。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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