essay代寫：金融風險評估
essay代寫：金融風險評估
大多數定量的金融風險模型都是基於資產收益率序列分佈的常態化假設。雖然這使得建模很容易，但在使用極端尾部估計數據時效率很低(Singh等人，2011)。風險價值(VaR)是一種非常流行的風險管理模型(Longin, 2004)。該模型有助於評估個人或機構投資者對特定交易組合可能產生的最大損失。它本質上是投資者風險水平的快照，基於當前持有量。有趣的是，這種風險模型的目的是識別風險，而不是預防風險。 VaR是一個數學模型，它有助於估計交易組合中預期的最大未來損失。在分析市場風險時，市場的動態特性是一個主要問題。在給定的情況下，波動性使得需要定義可以用於評估和管理當前市場風險的模型。在這種情況下，GARCH模型是一個很受歡迎的選擇(Barone-Adesi, et al.， 2008)。數據尾部代表了與投資組合相關的風險的極端可能性。
essay代寫：金融風險評估
這種風險可以通過EVT進行適當的評估，GARCH模型是這種情況下最合適的風險評估模型(McNeil & Frey, 2000)。當EVT用於評估投資組合的極端風險時;結果準確而精確(Diebold, et al.， 2000)。金融回報的實證分佈顯示的反面往往比正態分佈中的尾部更肥，從經濟角度來看，這是資產回報的一個指標(Huisman, et al.， 2001)。不對稱的GARCH模型，是基於歷史數據的，並允許在歷史和價格分佈上看到的差異，這是一個波動的市場的特徵。 (Barone-Adesi et al .,2008)。使用GARCH模型做出的預測在估計波動市場的風險方面非常精確(Gencay & Selcuk, 2004)。基於EVT的VaR計算方法因此被視為涵蓋了從“正常”(接近中位數)到“極端”(接近尾部)的所有可能的風險場景(Longin, 2004);並被視為當前經濟和市場情景下風險評估和管理的適當方法。
essay代寫：金融風險評估
Most Quantitative Financial risk models are based on the assumption of normality in the distribution of the return series of an asset. While this makes the modelling easy, it is inefficient in estimating data with extreme tails (Singh, et al., 2011). Value-at-Risk also called VaR is an extremely popular risk management model (Longin, 2004). This model helps evaluate the maximum possible loss that can be incurred by an individual or institutional investor, with a particular trading portfolio. It is essentially a snapshot of the risk level of an investor and is based on current holdings. Interestingly, this risk model aims at identifying risk, but not at preventing it. A mathematical model, VaR helps to estimate the maximum future losses that can be expected from a trading portfolio. The dynamic nature of markets is a major concern when analysing market risk. In the given situation, The volatility lends itself to the need for defining models that can be used for assessing and managing risk in the current markets. The GARCH models are seen to be a popular choice in such situations (Barone-Adesi, et al., 2008). The data tail represents extreme possibilities of risk associated with a portfolio.
essay代寫：金融風險評估
This risk can be properly assessed using EVT and the GARCH model is the most suitable risk assessment model for such scenarios (McNeil & Frey, 2000). When EVT is used to assess the extreme risk of a portfolio; the results are accurate and precise (Diebold, et al., 2000).The empirical distribution of financial returns show tails that tend to be fatter than those seen in cases of normal distribution, and is an indication of the returns of assets from an economic view point (Huisman, et al., 2001). The asymnetrical GARCH model, is based on historical data, and allows for the differences seen in the historical and pricing distribution that is the characteristic of a volatile market. (Barone-Adesi, et al., 2008). The forecasts made using the GARCH model are highly precise in estimating the risk in volatile markets (Gencay & Selcuk, 2004). EVT based approach to compute VaR is thus seen as a covering all possible scenarios of risk from the ‘normal’(close to the median) to the ‘extreme’(towards the tail) (Longin, 2004); and is seen as an appropriate method of risk assessment and management in the current economic and market scenario.
