【风险管理】Ch09历史的VaR（HistoryVaR）.pptVIP

 Chapter 9 大约70%的银行正在使用历史模拟的方法计算VaR * Market Risk VaR: Historical Simulation Approach Historical Simulation Collect data on the daily movements in all market variables. The first simulation trial assumes that the percentage changes in all market variables are as on the first day The second simulation trial assumes that the percentage changes in all market variables are as on the second day and so on 利用过去的数据预测未来 * Historical Simulation continued Suppose we use n days of historical data with today being day n Let vi be the value of a variable on day i There are n-1 simulation trials The ith trial assumes that the value of the market variable tomorrow (i.e., on day n+1) is * Accuracy (page 254) Suppose that x is the qth quantile of the loss distribution when it is estimated from n observations. The standard error of x is where f(x) is an estimate of the probability density of the loss at the qth quantile calculated by assuming a probability distribution for the loss * Example 12.1 (page 254) We estimate the 0.01-quantile from 500 observations as $25 million We estimate f(x) by approximating the actual empirical distribution with a normal distribution mean zero and standard deviation $10 million The 0.01 quantile of the approximating distribution is NORMINV(0.01,0,10) = 23.26 and the value of f(x) is NORMDIST(23.26,0,10,FALSE)=0.0027 The estimate of the standard error is therefore * Extension 1 Let weights assigned to observations decline exponentially as we go back in time Rank observations from worst to best Starting at worst observation sum weights until the required quantile is reached * Extension 2 Use a volatility updating scheme and adjust the percentage change observed on day i for a market variable for the differences between volatility on day i and current volatility Value of market variable under ith scenario becomes * Extension 3 Suppose there are 500 daily changes Calculate a 95% confidence interval for VaR by sampling 500,000 times with