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
where is the expected portfolio return, is the portfolio standard deviation, and is the z-score corresponding to the desired confidence level.
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