【视频】风险价值VaR原理与Python蒙特卡罗Monte Carlo模拟计算投资组合实例
原文链接:http://tecdat.cn/?p=22862 什么是风险价值(VaR)? 风险价值 (VaR) 是一种统计数据,用于量化公司、投资组合在特定时间范围内可能发生的财务损失程度。该指标最常被投资银行和商业银行用来确定其机构投资组合中潜在损失的程度和概率。 视频:风险价值VaR原理与Python蒙特卡罗Monte Carlo模拟计...

FRM-市场风险-python:the portfolio VAR(1%) on a percentage and dollar basis
Kiera Reed is a portfolio manager for BCG Investments. Reed manages a $140,000,000 portfolioconsisting of 30 percent European stocks and 70 percent U.S. stocks. If the VAR(1%) of theEuropean stocks i....
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Alto Steel’s pension plan has $250 million in assets with an expected return of 12 percent. Thelast thirty monthly returns are given below. What is the 10 percent monthly probability VAR forAlto’s pe....

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A $2 million balanced portfolio is comprised of 40 percent stocks and 60 percent intermediatebonds. For the next year, the expected return on the stock component is 9 percent and theexpected return o....
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