期刊论文

An Adaptive Algorithm for Prediction of Risk and Its Application

中文

中国管理科学

1003-207X

2023

31

08

1-8

10.16381/j.cnki.issn1003-207x.2020.0981

国家社会科学基金资助项目(19BTJ015)；

本校为第一机构

本文在充分利用交易信息的基础上，用离散随机过程刻画风险的演变，构建了一类分位数框架下的状态-空间模型来度量和预报风险。为了克服参数估计的困难，使模型具有实用价值，仿照传统卡尔曼滤波的思想，依据模型的设定，本文重构了分位数框架下的增益系数和修正过程，设计了一类新的风险预测算法。该算法的主要优势是，能依据观测数据的更新，自适应地修正已有的预测结果，并利用修正后的结果进行预测分析，从而降低连续预测过程中的误差积累，提高风险预测的准确性。文中理论结果和实证结论都证实了这一点。算法的理论分析及其模拟检验表明，修正之后的结果仍然具有无偏性，但方差却显著降低了...

Timely and accurate forecasting of risks has always been a core issue in the finance.To this end,by making full use of transaction information and taking the discrete stochastic processes to characterize the evolu⁃tion of risk,a state-space model has been established un...MORE Timely and accurate forecasting of risks has always been a core issue in the finance.To this end,by making full use of transaction information and taking the discrete stochastic processes to characterize the evolu⁃tion of risk,a state-space model has been established un...