Chap005风险与收益.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * 5-* Figure 5.5A Normal and Skewed Distributions 正态与有偏分布 5-* Figure 5.5B Normal and Fat-Tailed Distributions (mean = .1, SD =.2)正态与厚尾分布 5-* Value at Risk (VaR)在险价值 A measure of loss most frequently associated with extreme negative returns度量一定概率下发生极端负值所造成的损失 VaR is the quantile of a distribution below which lies q % of the possible values of that distribution在险价值的另一个名字是分布的分位数 The 5% VaR , commonly estimated in practice, is the return at the 5th percentile when returns are sorted from high to low.通常估计的5%的VaR是指收益从高到底排列后的，有95%的收益都会好过的那一个值。 5-* E