Discussion And Analysis On Measure And Calculation Of Financial Risk

The point that this thesis reached is about estimates and calculation of the risk.The whole thesis primarily is divided two parts.The first is about calculation of V aR and that, convert with each other atdi?erent confidence level and di?erent time. The main idea I study is the problemthat the return rate doesn't match the Normal Distribution at short time. However,when the logarithms of return rate are identified with the Normal Distribution,calculation of V aR will get its analyzing the expression type. Then we can makeuse of this type to calculate the most possible biggest lost, which has some practicalvalue.The second is about limits portfolio problem and establishes the limits minimumsquare bad model. This text also discusses that there exists the unique of superiorsolution and get its analyzing the expression type when return rate matches theNormal Distribution and permits sells short, At last, we o?er example of this model,which is my main work in this paper.