Risk Assessment and Management System of Financial Product Portfolio based on VaR
Available Online May 2019.
- https://doi.org/10.2991/bems-19.2019.86How to use a DOI?
- VaR Financial Products, Investment in Financial Products, Investment Risk Assessment.
- Previous studies based on VaR and CVAR under the condition of stable distribution are based on the premise that securities returns are independent of each other, but the calculation methods of VaR and CVAR for portfolio investment under the condition that securities returns are not independent of each other are seldom discussed. The application of VaR and CVAR in investment portfolio is studied by using historical simulation method, Monte Carlo simulation method and optimization method. Research shows that VaR, as a widely adopted advanced risk assessment method, introduces China's securities portfolio risk assessment will play an important role in promoting the development of China's securities market. It also proves that it not only allows us to fully understand the risk status of the portfolio, but also helps us to better manage risk and improve the risk-return characteristics of the portfolio.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiaoli Zhang PY - 2019/05 DA - 2019/05 TI - Risk Assessment and Management System of Financial Product Portfolio based on VaR PB - Atlantis Press SP - 485 EP - 489 SN - 2352-5428 UR - https://doi.org/10.2991/bems-19.2019.86 DO - https://doi.org/10.2991/bems-19.2019.86 ID - Zhang2019/05 ER -