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Demonstration And Comparison On The Method Of Risk-quantified In Value At Risk

Posted on:2003-12-16Degree:MasterType:Thesis
Country:ChinaCandidate:C R XueFull Text:PDF
GTID:2156360065962152Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
This paper aimed at introducing and comparing essential methods on risk-quantified,with increased request of risk management in the finance field,and with development of "financial mathematics" and "mathematic finance" derived from mathematics and finance ,in addition to improvement of compute simulation technology,It will come true that measuring value at risk. So it is necessary to study systemically this subject.In the course of controlling risk and managing risk,The first and basic step is measuring risk Obviously,the management conditions aimed at controlling market risk is based on value at risk Every bank,company or government indicated their risk conditions out of their balance sheet,this needs the knowledge of probability and investment profit,which be neglected in traditional accounting system,since 1994 ,many methods on measuring risk appeared ,in which the model on value at risk is most popular.The four kind of quantified risk methods ,delta-normal school,historical-simulation,stress-testing and structured Monte Karlo are introduced systemically in this article,then they are distinguished in detail from methods excellent and inferior,apply circus,applied difficultly and easily. The conclusion on apply is targeted. On the basis,delta-normal school is taken apart and explained from the view of math and statistics,and aimed at the problems produced in practice,the covariance matrix is simplified,boost it up in practice.
Keywords/Search Tags:method of quantified risk, delta-normal school, covariance matrix
PDF Full Text Request
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