投资组合的VaR风险价值分析

VaR Analysis of Investment Portfolio

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。

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 Va R 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.