【风险管理】Ch10模型的VaR（modelVaR）.pptVIP

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 del