资产组合的CVaR风险的敏感度分析

数学物理学报 ›› 2004, Vol. 24 ›› Issue (4): 442-448.

资产组合的CVaR风险的敏感度分析

刘小茂, 李楚霖

华中科技大学数学系

出版日期:2004-08-25 发布日期:2004-08-25
基金资助:
国家自然科学基金(70071012)和广西科学研究与技术开发项目(0385008)资助

Sensitivity Analysis of Conditional Value at Risk

LIU Xiao-Mao, LI Chu-Lin

Online:2004-08-25 Published:2004-08-25
Supported by:
国家自然科学基金(70071012)和广西科学研究与技术开发项目(0385008)资助

摘要/Abstract

摘要：

基于CVaR风险计量技术，分别给出了正态和t分布情形下资产组合的CVaR值，对一般情形下风险资产组合的CVaR风险关于头寸的敏感度进行了分析，研究了其经济意义。

关键词: 风险管理, 条件风险价值, 资产组合, 敏感度分析

Abstract:

This paper gives the Conditional Value at Risk (CVaR) of portfolio under the normality and t distribution respectively, and analyzes the sensitivity of CVaR with respect to portfolio allocation. The economic implications are also discussed.

Key words: Risk management, Conditional value at risk, Portfolio, Sensitivity. 

刘小茂, 李楚霖. 资产组合的CVaR风险的敏感度分析[J]. 数学物理学报, 2004, 24(4): 442-448.

LIU Xiao-Mao, LI Chu-Lin. Sensitivity Analysis of Conditional Value at Risk[J]. Acta mathematica scientia,Series A, 2004, 24(4): 442-448.

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