资源描述：
《风险价值【外文翻译】》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、外文翻译ValueatriskMaterialSource:FinancialAnalystsJournalVol.56,No.2,Mar.-Apr.,2000Author:ThomasJ.LinsmeierandNeilD.PearsonDelta-NormalApproach.Thedelta-normalapproachisbasedontheassumptionthattheunderlyingmarketfactorshaveamultivariatenormaldistribution.Usingthisassumption(andtheapproxi
2、mationinvolvedinmappingtheportfoliothatisdetailedlater),onecandeterminethedistributionofmark-to-marketportfolioprofitsandlosses,whichisalsoassumedtobenormal.Oncethedistributionofpossibleportfolioprofitsandlosseshasbeenobtained,standardmathematicalpropertiesofthenormaldistributionareus
3、edtodeterminethelossthatwillbeequaledorexceededxpercentofthetime(i.e.,theVAR).Toillustrate,wecontinuewiththethree-monthFXforwardcontractintroducedearlierandcontinuetoassumethattheholdingperiodisoneday.Forthenormaldistribution,outcomeslessthanorequalto1.65standarddeviationsbelowthemean
4、occuronly5percentofthetime.BecausetheVARisdefinedasthelossthatisexceededwithaprobabilityofxpercent,theVARisValueatrisk=-[(Expectedchangeinportfoliovalue)]-1.65(Standarddeviationofchangeinportfoliovalue)](2)Forthisexample,weassumethattheexpectedchangeinportfoliovalueiszero.Thisassumpti
5、onisreasonableforashortholdingperiodandisfrequentlymade.Thestandarddeviation,whichisameasureofthe"spread"ordispersionofthedistribution,isapproximatelyUSD52,500.Thisnormaldistributionwithameanofzeroandstandarddeviationof52,500canberepresentedbytheprobabilitydensityfunctionshowninFigure
6、2.Usingthisdistribution,wefindtheVARis-[0-1.65(USD52,500)]=USD86,625Clearly,computationofthestandarddeviationofchangesinportfoliovalueisthekeystepinthedelta-normalapproach.Thestandarddeviationofthechangesinvalueofaportfoliodependsonthestandarddeviationsofthechangesinvalueofalltheinstr
7、umentsintheportfolioandthecorrelationsamongthem;withninstrumentsintheportfolio,thetotalisn(n+1)/2parameters.Butestimatingallofthesestandarddeviationsandcorrelationsdirectlyisusuallynotfeasible.Thenecessarydatasimplymaynotexist,eitherbecausethesecuritiesorinstrumentshaveonlyrecentlybee
8、ntrad
