VaR的改进方法CVaR在投资组合风险中的应用

VaR(在险价值)理论是当今国际上比较成熟的分析和度量风险的理论,在世界范围内得到广泛应用,但在对风险分布函数的度量中,却常常忽视对函数尾部特殊值的分析和计量,从而影响到风险评估的准确性。CVaR作为投资组合风险度量的指标克服了VaR的不足,是一致性的投资组合风险度量指标,具有很多优良特性。目前CVaR尚未成为金融业的一项公认标准,但因为它有厚实的理论根基和鲜明的可操作性,在投资组合风险控制方面比VaR更为有效合理、更适宜,同时建立CVaR模型可以降低风险,使资源合理配置。

The Applications of CVaR-An Improved Method of VaR-in Portfolio Risk

VaR is a widely-used theory which is comparatively mature in risk analysis and measurement now,in measuring risk distribution function,however,the analysis and measurement on special value of function end is often ignored,which will influence accuracy of risk evaluation.CVaR,as an index of portfolio risk measurement,overcoming the shortcomings of VaR,is a consistent measurement index of portfolio risk with many excellent characteristics.Now CVaR is not an established standard on financial industry,because o...