第十二章-市场风险：历史模拟法.pptVIP

12.1 The Methodology Historical simulation involves using past data as a guide to what will happen in the future. Suppose that we want to calculate VaR for a portfolio using a one-day time horizon, a 99% confidence level, and 501 days of data. The time horizon and confidence level are those typically used for a market risk VaR calculation; 501 is a popular choice for the number of days of data used because it leads to 500 scenarios being created. The steps of historical simulation approach The first step is to identify the market variables affecting the portfolio, these will typically be exchange rates, equity prices, interest rates and so on. Data are then collected on movements in these market variables over the most recent 501 days. this provided 500 alternative scenarios for what can happen between today and tomorrow. For each scenario, the dollar change in the value of the portfolio between today and tomorrow is calculated. This defines a probability distribution for daily loss( gains are negative losses) in the value of our portfolio. The 99th percentile of the distribution can be estimated as the fifth-worst loss( there are alternatives here, a case can be made for using the fifth-worst loss, the sixth-worst loss, or an average of the two). The estimate of VaR is the loss when we are at this 99th percentile point. Algebraically expression of the approach Define vi as the value of a market variable on day i and suppose that today is day n. the ith scenario in the historical simulation approach assumes that the value of the market variable tomorrow will be: Value under ith scenario=vn*vi/vi-1 (12.1) Illustration To illustrate the calculations underlying the approach, suppose that an investor owns, on September 25, 2008, a portfolio worth $10 million consisting of investments in four stock indices: the Dow Jones Industrial Average(DJIA) in the US, the FTSE 100 in the UK, the CAC 40 in France, and the Nikkei 225 in Japan. ★对表12.3的相关说明（市场变量在2008年9月26日对于