typora-copy-images-to: Risk Management and Financial Institution
文章目录
- 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
12.2 Examples (略)
12.3 Drawback of VaR
12.4 Expected Shortfall
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又称作为conditional value at risk,expected tail loss
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ES is the expected loss during time T conditional on the loss being greater than the VaR
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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
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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
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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