代写论文的网站：风险值的三个变量
代写论文的网站：风险值的三个变量
风险值是通过三个变量来衡量的，即潜在损失的时间框架、潜在损失的数量以及发生损失的概率。例如，如果一家公司使用风险价值模型来估计其10%的风险概率价值为1亿美元;这意味着一家公司在任何一个月里损失超过1000万美元的可能性。换句话说，风险价值的三个组成部分是信心水平，期间和损失百分比或价值。VaR以美元估计投资组合风险，是投资者估计风险水平的一种简单方法(Hendricks, 1996)。VaR常用的三种计算方法是方差-协方差法、历史法和蒙特卡洛激励法(Barone-Adesi, et al.， 2008)。
代写论文的网站：风险值的三个变量
这些方法各有优缺点。由于风险值模型是基于使用置信区间的数学计算，因此对实际场景的错误表示和对数字的错误解释的概率可能会产生误导(Cifter, 2011)。这可能会造成一种类似于2008年信贷危机的情况，即风险管理的VaR模型无法识别抵押贷款产品内在风险的潜在因素(Singh等人，2011)。极端价值理论被认为有助于有效地处理极端金融事件(McNeil & Frey, 2000)，(Singh et al.， 2011)。
代写论文的网站：风险值的三个变量
Value at Risk is measured with the help of three variables, viz., the time frame of potential loss, the amount of potential loss, and the probability of that amount of loss occurring. For instance, if a firm used the Value at Risk model to estimate that that it had a 10 percent probability of risk valued at $100 million; it would mean that the possibility of a firm losing more than $ 10 million in any month. In other words, the three components of Value at Risk are confidence level, time period and loss percentage or value. VaR estimates the portfolio risk in dollars and is an easy method for investors to estimate their level of risk (Hendricks, 1996). The three commonly used methods of calculating VaR are the variance-covariance method, the historical method and the Monte Carlo Stimulation (Barone-Adesi, et al., 2008).
代写论文的网站：风险值的三个变量
Each of these methods has their own advantages and disadvantages.Since the Value at Risk model is based on the mathematical calculations using the confidence interval, the probability of misrepresentation of actual scenarios and misinterpretations of figures may be misleading (Cifter, 2011). This could create a situation similar to that of the credit crisis in 2008, wherein the VaR model of Risk Management was unable to identify the underlying the inherent dangers of mortgage products (Singh, et al., 2011).The Extreme Value Theory is seen to help efficiently and effectively deal with extreme financial events (McNeil & Frey, 2000) ,(Singh, et al., 2011).
