1
2
3
4
{ } n n 5
R R R R 1 6
7
8
9
, 10
11
12
13
14
15
T 16
T 17
18
19
20
21
22
23
99VaR 99 24
25
26
0.5 0.5 27
99 28
99 99 29 99
30
31
t-1 t-1 t-1 t-1 t-10 t-10 t-10 t-10 32
33
2 T 2 34
99 99 99 35
36
37
1.0 1.0 0.7 0.7 0 38
39
40
41
99 42
43
44
45
99 46
47
HS 48
49
50
51
52
53
54
55
99 99 56
57
58
59
60
61
62
2=250, = 63
250 99% 1% NC K p K (1-p) N-K 8.11% 100.00% 1 20.47% 91.89% 2 25.74% 71.42% 3 21.49% 45.68% 4 13.41% 24.19% 5 6.66% 10.78% 6 2.75% 4.12% 7 0.97% 1.37% 8 0.30% 0.40% 9 0.08% 0.11% 10 0.02% 0.03% 11 0.00% 0.01% 12 0.00% 0.00% 13 0.00% 0.00% 14 0.00% 0.00% 15 0.00% 0.00% 64
65
66
67
68
69
70
71
72
73
74