风险指标
损失风险指标

Value at Risk

Definition

Value at Risk(VaR)量化了在特定置信水平下投资组合的最大潜在损失。该VaR值使用方差-协方差法在95%置信水平下计算。其他可能的方法包括历史模拟法和蒙特卡洛法。

Formula

VaR=μp+zσp\text{VaR} = -\mu_p + z \cdot \sigma_p

where μp\mu_p is the expected portfolio return, σp\sigma_p is the portfolio standard deviation, and zz is the z-score corresponding to the desired confidence level.

Related Metrics

Explore other metrics in the 损失风险指标 category

帮助
Value at Risk Definition & Formula · PortfolioMetrics