投资组合的VaR风险价值分析

楚雄师范学院学报 ›› 2022, Vol. 37 ›› Issue (3): 72-77.

投资组合的VaR风险价值分析

甘小艇^*, 吴雨珊, 顾乔美, 徐敏

楚雄师范学院数学与计算机科学学院,云南楚雄 675000

收稿日期:2021-04-23 发布日期:2022-06-30
通讯作者: *甘小艇（1983–）,男,博士,楚雄师范学院数学与计算机科学学院副教授,研究方向为计算金融。E-mail： 9xtgan@alumni.tongji.edu.cn,Tel. 15125801170
基金资助:
云南省地方本科高校基础研究联合专项资金项目（No.2019FH001）; 楚雄师范学院大学生校级科研项目（No. XSKY2024）

VaR Analysis of Investment Portfolio

Xiaoting Gan^*, Yushan Wu, Qiaomei Gu, Ming Xu

School of Mathematics and Computer Science, Chuxiong Normal University, Chuxiong, Yunnan Province 675000

Received:2021-04-23 Published:2022-06-30

摘要/Abstract

摘要： 本文采用VaR模型的三种常用方法参数法、历史模拟法、蒙特卡洛模拟法分别对投资组合的风险价值进行计算。通过选取2018年10月8日到2019年3月1日的二十只股票数据, 以此期间的股票基金指数成分股作为投资组合, 利用MATLAB编程计算,估算出在一定持有期和给定置信度下的VaR值。数值结果表明, 三种方法效果差别不大, 参数法较好。

关键词: 投资组合, 风险价值, VaR模型

Abstract: In this paper, three common methods of VaR model -parameter method, historical simulation method and Monte Carlo simulation method -are adopted to calculate the value at risk of investment portfolio, respectively. By selecting the data of 20 stocks from October 8, 2018 to March 1, 2019, the constituent stocks of the stock fund index during this period are taken as the investment portfolio, and the VaR value under a certain holding period and given confidence is estimated by using Matlab programming calculation. Numerical results show that there is little difference between the three methods, and the parametric method is better.

Key words: Portfolio, Value at risk, VaR Model

中图分类号:

F830.59

甘小艇, 吴雨珊, 顾乔美, 徐敏. 投资组合的VaR风险价值分析[J]. 楚雄师范学院学报, 2022, 37(3): 72-77.

Xiaoting Gan, Yushan Wu, Qiaomei Gu, Ming Xu. VaR Analysis of Investment Portfolio[J]. Journal of Chuxiong Normal University, 2022, 37(3): 72-77.

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