统计与决策2019，Vol.35Issue(8)：26-29,4.DOI:10.13546/j.cnki.tjyjc.2019.08.006
基于似然比检验的VaR回测研究
VaR Back-test Based on Likelihood Ratio Test
摘要
Abstract
Based on likelihood ratio test theory, this paper makes a study on Value-at-Risk (VaR) back-testing with the general subject to Pascal distribution, geometric distribution and binomial distribution, and puts forward the average first failure times test and the average failure rate test, leading to the result that the back-testing method proposed by Kupiec(1995)is just a special case of the research conclusion of this paper. Finally, the numerical calculation verifies that the method proposed in the paper has higher efficacy, and to a certain extent improves the accuracy of VaR prediction test.关键词
VaR回测检验/Kupiec失败率检验/似然比检验Key words
VaR back-testing/Kupiec failure rate test/likelihood ratio test分类
数理科学引用本文复制引用
魏正元,薛玲,谢挺..基于似然比检验的VaR回测研究[J].统计与决策,2019,35(8):26-29,4.基金项目
重庆市教委科技项目(KJ1709207) （KJ1709207）
