This chapter states caculation method of numerical VaR, parameter VaR and quantile and so on.
本章阐述了数值VaR、参数VaR和分位数等计算方法。
参考来源 - 信用风险理论、模型及应用研究
分位数 - 引用次数:3参考来源 - 数据流上的分位数近似算法研究 in C
分位点数
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Quantile
abstract:Quantiles are points taken at regular intervals from the cumulative distribution function (CDF) of a random variable. Dividing ordered data into q essentially equal-sized data subsets is the motivation for q-quantiles; the quantiles are the data values marking the boundaries between consecutive subsets.