笔记一：VAR

1.Value at risk(VAR) is a probabilistic method of measuring the potential loss in portfolio value over a given time period an dfor a given distribution of historical returns.
2.Var is the dollar or percentage loss in portfolio value that will be equaled or exceeded only X % of time, eg,there is an X percent probability that the loss in portfolio value will be equal to or greater than the VAR measure.
3.Var methods:delta-normal;historical simulation;monte carlo simulation.
4.delta-normal:begins by valuing the porfolio at an initial point as a relationship to a specific risk factor,and changing in portfolio value and risk factor to test the sensitivity of the portfolio to changes in the risk factor. VAR=Z*volatility*portfolio value*sensitivity
5.historical simulation:calculate the 5% daily var using the historical method is to accumulate a number of past daily returns,rank the returns from highes to lowest, and identify the lowest 5% of returns. the highest of these lowest 5% of returns is the 1-day 5% var.
6.monte carlo:genertates hundres of possible outcomes from the distributions of inputs specified by the user.enter a distribution of possible 1-week returns for each of the hundres of stocks in a portfolio. on each run, seclects on weekly return from each stock's distribution of possible returns and calculate a weighted average porfolio return. the thousand weighted average portfolio returns will form a distribution, using the expected return and the standard deviation as part of the monte carlo ouput, and then calculating var in the same way as delta-normal.