VaR的歷史模擬法

1、VaR計(jì)計(jì)算算的的歷歷史史模模擬擬法法x投投資資A股股比比例例0.65投投資資B股股比比例例0.35日日期期A股股價(jià)價(jià)格格B股股價(jià)價(jià)格格組組合合價(jià)價(jià)值值價(jià)價(jià)值值變變動(dòng)動(dòng)-10010035-99100.2534.09-9895.9734.23-9797.1835.78-9695.2237.81-9596.3936.15-9496.1637.36-93101.8136.7-92103.335.96-91103.4736.87-90102.1937.95-89102.7240.49-889939.76-8797.1938.74-86102.7140.63-85103.9143.01-8410344.

2、31-83103.2345.47-82103.9246.07-81102.6745.23-8099.2849.5-79100.4546.81-7810048.25-77102.7746.1-76104.6241.7-75102.6841.1-74108.839.31-73105.8939.6-72108.6739.51-71108.3439.22-70108.7739.86-69106.2940.4-6899.4238.28-6798.7336.7-66101.1335.2-6596.0536.14-6493.6834.82-6392.7733.41-6292.5232.46-6193.853

3、1.31-6092.7432.76-5995.633.92-5898.9834.12-5799.6233.49-5698.5233.56-5599.0833.96-5499.2432.59-5398.7832.97-52103.2433.58-51103.2333.76-50104.8532.59-49105.8832.48-48108.8632.28-47110.2532.49-46109.1133.85-45107.0533.14-4410433.05-43105.934.31-42104.6633-41105.7135.35-40103.2536.12-39107.1235.86-381

4、08.8437.54-37110.5835.97-36112.7737.49-35112.1934.43-34115.4636-33111.0937.13-32110.7137.01-31115.5738.48-30116.2938.37-29113.3140.33-28111.2942.74-27109.4340.21-26111.6339.81-25116.1640.14-24117.937.87-23110.4340.45-22105.6842.49-21104.3442.06-2010743.22-19112.1744.11-18113.5344.78-17112.1746.58-16

5、115.1743.26-15109.1243.17-14105.8744.96-13109.0544.04-12112.6644.3-11114.2943.89-10118.5744.2-9119.1541.48-8118.7943.16-7118.6244.82-6119.5245.27-5117.6244.05-4118.9842.97-3114.0641.39-210840.9-1106.1542.470100.0742.23期期望望價(jià)價(jià)值值82.36323267未未來(lái)來(lái)一一日日的的價(jià)價(jià)值值分分布布與與期期望望價(jià)價(jià)值值的的差差編編號(hào)號(hào)123456789101112131415161718

6、192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100在在95%置置信信水水平平下下VaR6.29在在99%置置信信水水平平下下VaR6.65三三股股票票周周末末首首盤盤價(jià)價(jià)A股股B股股C股股收收益益率率112.101.0514.50A股股B股股C股股212.131.0814.56312.151.1514.62412.14

7、1.2414.60512.151.2814.59612.151.2514.54712.181.2814.64812.191.3714.73912.171.3214.701012.171.3614.701112.141.4114.701212.171.4114.701312.221.4114.711412.221.4514.781512.251.4514.821612.281.6114.861712.271.5314.841812.281.4414.831912.291.5114.882012.281.4814.872112.221.4214.772212.261.4714.812312.261

8、.4714.84周一2412.271.5014.86周二2512.251.5014.84周三2612.251.5314.86周四2712.291.5814.88周五2812.301.5814.932912.301.6114.923012.331.6814.943112.311.6814.913212.301.6514.883312.321.6814.91當(dāng)前價(jià)格3412.311.6814.93模擬價(jià)格3512.331.6814.873612.321.7114.843712.281.8014.813812.261.8014.823912.261.8214.814012.321.8714.8341

9、12.311.8714.844212.281.8614.814312.281.8414.824412.281.7614.844512.311.7314.844612.291.6514.804712.271.6014.834812.291.6814.844912.291.6914.875012.291.6814.885112.291.6614.875212.291.6714.875312.291.6614.87模模擬擬結(jié)結(jié)果果期望價(jià)值 9.668786組合比例0.50.30.2次數(shù)A股B股C股組合價(jià)值價(jià)值差重新排序0.056期期望望收收益益率率0.063A股B股C股-0.017-0.009-0.

10、051協(xié)協(xié)方方差差矩矩陣陣0.100ABC0.091-0.0350.0000.0000.0000.008分分解解矩矩陣陣0.0710.0440.035-0.020-0.0070.049-0.007模模擬擬股股票票A的的一一個(gè)個(gè)價(jià)價(jià)格格-0.101隨機(jī)數(shù)價(jià)格軌跡0.04512.290.0290.020-0.0270.0280.0140.047-0.0060.020-0.025模模擬擬三三個(gè)個(gè)股股票票的的周周末末價(jià)價(jià)格格-0.033A股B股C股0.02712.291.6614.870.019-0.058-0.034-0.0280.014-0.0140.0210.007-0.0280.0140.0220.000-0.0490.0340.0140.0210.014-0.0140.0000.00714.514.5614.6214.6014.5914.5414.6414.7314.7014.7014.7014.7014.7114.7814.8214.8614.8414.8314.8814.87