INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap005 Introduction to Risk, Return, and the Historical Record_精品.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * 5-* Figure 5.5A Normal and Skewed Distributions 5-* Figure 5.5B Normal and Fat-Tailed Distributions (mean = .1, SD =.2) 5-* Value at Risk (VaR) A measure of loss most frequently associated with extreme negative returns VaR is the quantile of a distribution below which lies q % of the possible values of that distribution The 5% VaR , commonly estimated in practice, is the return at the 5th percentile when returns are sorted from high to low. 5-* Expected Shortfall (ES) Also called conditional tail expectation (CTE) More conservative measure