VaR及投资灵敏度分析

VaR是一种处理非线性问题、概括证券组合市场风险量化的工具,它解决了传统风险定量化工具对于非线性的衍生金融资产适用性差、难以概括证券组合的市场风险缺点,有利于测量和管理金融风险.通过简要介绍VaR的概念、性质及特点的基础上,对VaR关于投资组合的灵敏度进行了深入分析,给出了VaR关于投资组合一阶、二阶导数的解析表达式,进而说明了VaR的凸性利用.

Title:Based on the sensitivity analysis of the investment

VaR is one kind of the implement handling nonlinearity problem,the quantization summarizing that the bond constitutes marketplace risk,finance assets serviceability dispatches its implement having resolved tradition risk determining the amounts of the components of a substance-rization to the nonlinearity derivation,is difficult to summarize the marketplace risk shortcoming that the bond constitutes,financial risks beneficial to measuring and managing.The basis passing brief the concept introducing VaR’s,character and characteristic is upper.And then have carried out thorough analysis on VaR’s sensitiveness about portfolio formation,have given VaR’s analysis about portfolio formation one order,second order derivative out expression,protruding nature having explained VaR’s makes use of.