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Conditional Value At Risk (cvar), Applied Research, Portfolio Theory

Posted on:2004-05-03Degree:MasterType:Thesis
Country:ChinaCandidate:Q J GongFull Text:PDF
GTID:2206360125457075Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
The risk measure method of Conditional Value-at-Risk is developed on basis of the shortcoming of Value-at-Risk method, which is raised by Rockafellar at 1999. The implication of CVaR is the conditional loss over VaR of portfolio, which reflects the average exceed quota. CVaR method reflects underlying loss better than VaR method.CVaR has many applications, such as measuring credit risk, deciding inner risk capital, asset allocation, banking supervision et al. This paper focuses the applications of CVaR in the portfolio theory. In the course of researching, I do my best to use the methods of systems theory, induction and deduction, comparison and empirical analysis et al. Firstly, the paper totally introduces all kinds of traditional risk measure methods and then analyses the defects of these methods, then puts forward CVaR risk measure method, introduces and analyses the definition, the parameter selecting, the calculation, the properties and applications and so on. The conclusion is that CVaR is better than the traditional methods and CVaR method is a coherent risk measure method. Secondly, the paper studies the application of CVaR in portfolio theory, which is also the new ideas of this paper. One is the bound and efficient frontier of mean-CVaR, the other is the optimal selection of portfolio on based of CVaR constraint. And using empirical analysis proved these two problems. In fact the implications of these two problems are identical. They all use CVaR to guide invest decisions. Thirdly, the paper simply analyses the problems of the use of CVaR in China and puts forwards some suggestions. Finally, concluding this paper and the conclusion is that CVaR is a better risk measure method and it can guide investment decisions, and the model of CVaR constraint is a good supplement of the model of mean-CVaR.
Keywords/Search Tags:risk measure method, Conditional Value-at-Risk, coherent risk measure, portfolio
PDF Full Text Request
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