Risk Management and Financial Institution Chapter 12 —— VaR and Es

最新推荐文章于 2020-09-17 14:07:16 发布

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最新推荐文章于 2020-09-17 14:07:16 发布

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分类专栏：风险管理与金融机构 Editon 5 文章标签： John Hull VaR Expected Shortfall

本文链接：https://blog.csdn.net/weixin_44617258/article/details/89358147

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本文介绍了风险管理中的VaR（Value at Risk）和ES（Expected Shortfall）的概念，讨论了它们的定义、优缺点、风险度量的性质，并深入探讨了时间展望期、自相关性、置信区间对两者的影响。此外，还阐述了边际VaR、递增VaR和组件VaR的概念，以及VaR和ES的聚合方法和回测的重要性。

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Risk Management and Financial Institution Chapter 12 —— VaR and Es

Risk Management and Financial Institution Chapter 12 —— VaR and Es

Value at risk (VaR) and expected shortfall (ES) are attempts to provide a single number that summarizes the total risk in a portfolio

12.1 Definition of VaR

It is the loss level during a time period of length T that we are X% certain will not be exceeded

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12.2 Examples (略)

12.3 Drawback of VaR

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12.4 Expected Shortfall

又称作为conditional value at risk,expected tail loss
ES is the expected loss during time T conditional on the loss being greater than the VaR
ES has better properties than VaR in that it always recognizes the benefits of diversification , 分散化的收益可以被算入
ES的缺陷：
- 比VaR更加难以理解
- 回测过程也更加难

12.5 Coherent Risk Measures

风险度量应该满足一定的性态：
- monotonicity 单调性收益小，意味着风险大
- Translation Invariance 平移不变性加入K的cash ，总风险减去cash
- Homogeneity 同质性保持组合中单个资产所占比例不变，调整组合大小，风险相应增减
- Subadditivity 次可加性

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Risk Management and Financial Institution Chapter 12 —— VaR and Es

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