【风险管理】Ch10模型的VaR（modelVaR）.ppt

Single asset * * * Principal Components Analysis Suppose we calculate where f1 is the first factor and f2 is the second factor If the SD of the factor scores are 17.49 and 6.05 the SD of DP is * 线性模型 When Linear Model Can be Used Portfolio of stocks Portfolio of bonds Forward contract on foreign currency Interest-rate swap * 非线性资产 The Linear Model and Options Consider a portfolio of options dependent on a single stock price, S. Define and * 近似方法 Linear Model and Options continued As an approximation Similarly when there are many underlying market variables where di is the delta of the portfolio with respect to the ith asset * Example Consider an investment in options on Microsoft and ATT. Suppose the stock prices are 120 and 30 respectively and the deltas of the portfolio with respect to the two stock prices are 1,000 and 20,000 respectively As an approximation where Dx1 and Dx2 are the percentage changes in the two stock prices * But the distribution of the daily return on an option is not normal The linear model fails to capture skewness in the probability distribution of the portfolio value. * But the distribution of the daily return on an option is not normal * Positive Gamma Negative Gamma Translation of Asset Price Change to Price Change for Long Call * Long Call Asset Price Translation of Asset Price Change to Price Change for Short Call * Short Call Asset Price Quadratic Model 二次模型 For a portfolio dependent on a single stock price it is approximately true that so that Moments are * Quadratic Model continued With many market variables and each instrument dependent on only one Formulas for calculating moments exist but are fairly complicated * Cornish Fisher Expansion Cornish Fisher expansion can be used to calculate fractiles（分位点） of the distribution of DP from the moments of the distribution * Monte Carlo Simulation To calculate VaR using MC simulation we Value portfolio today Sample once from the mu