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FRM®知识点｜VaR Implementation 1
文章来源：网络
发布时间：2022-01-07 14:33
阅读：369次
Accounting for
time-varying volatility in VaR models
has been one of the most actively studied
VaR implementation issues.
Is it necessary to incorporate time-varying volatilities and correlatins?
有必要考虑波动率随时间的变化吗？
The industry seems to think so since many firms advocate the use of fast reacting measures of risk such as exponential time-weighted measures of volatility.【点击免费下载>>>更多FRM学习相关资料】
The reason given is that such VaR models provide early warnings of changing market conditions and may perform better in backtesting.
提出了早期的预警，在回测中表现得很好。
Time-varying volatility in VaR：
It is important to recognize time-varying volatility in VaR measures since ignoring it will likely lead to an underestimation of risk.
是否应该考虑volatility随时间变化而变化。
The effect of time-varying volatility on the accuracy of VaR measures decreases as time horizon increases.
时间跨度越长，会对volatility产生影响。
→→如果忽略volatility的变化，很有可能会低估风险的度量。
→→如果时间跨度足够长，volatility对风险估计的影响显著减少。
Backtesting VaR models:
Backtesting is less effective over longer time horizon due to portfolio instability.
如果时间跨度变长，回测的有效性会降低
“Christoffersen and Diebold(2000) observe that volatility forecastability decays quickly with time horizon for most equity,fixed income and foreign exchange assets.
对于大多数股票、固定收益和外汇资产来说，波动的可预测性随着时间的推移而迅速衰减。”
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