新手求问VaR度量的三种方法能用EXCEl做到吗？

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新手求问VaR度量的三种方法能用EXCEl做到吗？
假设我有个投资组合，三个股票A，B，C，平均日收益率分别为1.2%，0.4%，0.8%，标准差（按日计算）分别为3%，1%，1.3%，权重分别40%，20%，40%。
协方差法我搞懂了，但是历史模拟法和蒙特卡罗法还不是很懂，求大神帮忙，如果EXCEL不行，请问用什么软件？

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关键词：用excel EXCEL xcel exce VaR 蒙特卡罗 投资组合 收益率 标准差 EXCEL

Excel is enough.

Historical simulation means you assume the past N day return series is drawn from an unknown distribution. Say you have 100 past returns. You then try to find the 5% quantile of this distribution(assume you want 95% VaR). What you need to do is just sort this 100 returns in the ascending order and find the 5th number. This means there is only 5 numbers out of 100 smaller or equal to this number. So this is 95% VaR.

Monte Carlo simulation is always combined with GARCH model. It assumes that you know the distribution of the return (e.g. normal, or t) you use GARCH model to estimate the parameters from the historical data and then use the GARCH model to simulate a path of volatility so that you can get the corresponding VaR's path. Simulate enough paths (10000) average them and you get the VaR. This method is always used to predict VaR of a long time horizon (e.g. you have daily return but you want to predict 10 day VaR)

best,

Chemist_MZ 发表于 2013-6-19 20:16
Excel is enough.

Historical simulation means you assume the past N day return series is drawn fro ...

谢谢MZ同志，但是蒙特卡罗模拟法还是不是很懂，因为我未接触过GRACH模型，现在我只会用normsinv(rand(),0,1)模拟出10000个数据，请问下一步怎样呢？

mcjerry 发表于 2013-6-20 19:43
谢谢MZ同志，但是蒙特卡罗模拟法还是不是很懂，因为我未接触过GRACH模型，现在我只会用normsinv(rand(),0 ...

in that case, I think it is unnecessary to use MC method. Since you know the return is Normal, then you can calculate the 95% or 99% left tail quantile directly without simulation.

If you really want to do it via MC, you can simulate 10000 path and sort them in the ascending order and pick the 10th or 50th number to be the 99% or 95% VaR.

Best,

Chemist_MZ 发表于 2013-6-21 21:38
in that case, I think it is unnecessary to use MC method. Since you know the return is Normal, the ...

thanks very much!!

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