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FRM®一级估值与风险建模基础备考公式
文章来源：网络
发布时间：2021-12-06 16:01
阅读：670次
本文讲述FRM®一级第四部分估值与风险建模
Valuation and Risk Models
Value at Risk (VaR)
Minimum amount one could expect to lose with a given probability over a specific period of time.
Delta-normal VaR :
[μ – (z)(σ)] × asset value
Historical simulation VaR uses historical data to compute VaR. For example, to calculate the 5% daily VaR, you accumulate a number of past daily returns, rank the returns from highest to lowest, and then identify the lowest 5% of returns.
Expected Shortfall (ES)
Expected value of all losses greater than the VaR. Unlike VaR, ES has the ability to satisfy the coherent risk measure property of subadditivity.【点击免费下载>>>更多FRM学习相关资料】
EWMA Model
The exponentially weighted moving average (EWMA) model assumes weights decline exponentially back through time. This assumption results in a specific relationship for variance in the following model:
where:
λ = weight on previous volatility estimate (λ is a positive constant between zero and one)
High values of λ will minimize the effect of daily percentage returns, whereas low values of λ will tend to increase the effect of daily percentage returns on the current volatility estimate.
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Derek
讲师认证：擅长数学和编程
上海交通大学MBA，美国德克萨斯州立大学圣安东尼奥分校 MBA，CFA持证人； 七年金融行业从业史，超过14年的金融教学经验，不仅教学能力深受认可，还擅长数学和编程，更是CFA老师中的围棋5段选手。 课堂教学细心严谨，不仅学术性强，专业知识功底深厚，且注重学生课堂反馈，解答耐心十足，能帮助学生迅速从零搭建知识框架。
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