【摘要】 VaR(在险价值)理论是当今国际上比较成熟的分析和度量风险的理论,在世界范围内得到广泛应用,但在对风险分布函数的度量中,却常常忽视对函数尾部特殊值(即超出VaR预测值的实际发生值)的分析和计量,从而影响到风险评估的准确性。本文分析了VaR的缺陷,介绍了在其基础上发展并完善起来的CVaR(条件VarR)分析的优点,并构筑投资组合对二者的差别进行了分析。更多还原

【Abstract】 VaR(Value at Risk)theory has been a comparatively mature theory to analyze and measure the risk in the world,and widely used in many aspects of the financial industry. However,the special values(actual values beyond the predicted values of VaR) which may have significant influences on the evaluation of the risk are usually ignored in the measurement of risk distribution functions.In this paper,flaws of VaR will be analyzed and characteristics of the CVaR(Conditional VaR)based on the VaR will be introduced and results of the portfolio constructed with four stocks by means of VaR and CvaR illustrate the differences of the two means in risk measurement.更多还原