投资组合VaR分解的应用研究

Research on the portfolio VaR decomposition application

针对VaR的不足,Garman M.于1997年提出了成分VaR和边际VaR。采用德尔塔——正态法度量投资组合的VaR、边际VaR和成分VaR,使用假设检验法对模型进行回测的研究结果表明,该计算方法下的VaR模型有效,边际VaR和成分VaR能为资产管理者提供更多有关投资组合风险的信息。

VaR for the lack of, Garman M. in 1997, and marginal VaR cmnponents made VaR. Using Dclta - Normal France metvie portfolio VaR, marginal VaR and component VaR, the use of hypothesis testing the model back-tested resuhs show that the method of calculating VaR model under the effective, marginal VaR and component VaR for asset managers to provide more information on investment portfolio risk.