The Study Of The Evaluation Of Portfolio Insurance Based On CvaR Model

With the development of economic globalization and integration of financial market, financial marketbecomes more and more elusive. Recently, the financial market of our country has been in a depressed state.Stock market diving, the gold market swings, brought no small shock to investors. To maintain a minimumsecurity at a time when the market prices, but also can obtain the market rising investment in financialproducts is the most desired. Investment portfolio insurance strategy is able to meet the expectations of all.The risk at the same time on the financial market are prevention and management is the most importantissue facing investors and financial institutions.In order to ensure the development of financial market steady and fast, to strengthen the managementof market risk, whether it is for investors or regulators is particularly important. There are many ways tomeasure the investment risk in the financial market, one of the most popular methods is VaR, but becausethe risk measure index VaR is not consistent, so still needs further development. In this paper, through theCvaR method of the VaR method and the extended VaR’s method is introduced, and the CvaR and portfolioinsurance combination, improved the investment portfolio insurance strategy dynamically, taking intoconsideration the actual application portfolio insurance after the improvement in financial market riskmeasurement, thus providing a reference for more effective risk management system for our country’sfinancial markets, but also for the healthy development of the domestic financial market and improvecompetitiveness are very helpful.This paper summarized and compared the definition of investment portfolio insurance, content. Leadsto the Constant Proportion Portfolio Insurance Strategy (CPPI strategy) and Time Invariant PortfolioInsurance Strategy (TIPP strategy) is defined and the formula and comparative analysis of CPPI strategyand TIPP strategy. Then the introduction of VaR and CvaR, calculation method and through the GARCHmodel to derive the VaR and CvaR. Then, the combination of CvaR and portfolio insurance strategy model,according to the characteristics of portfolio insurance strategy, the CPPI strategy and TIPP strategyinvestment portfolio insurance strategies in dynamic adjustment. Then on the spot price of gold forinvestment portfolio insurance strategy risk assets construction, and through the CPPI strategy and TIPP strategy for CvaR after adjustment for empirical research.