夏洛特顿论文代写：金融投资组合的风险管理
夏洛特顿论文代写：金融投资组合的风险管理
金融投资组合的风险管理涉及评估极端稀有事件的概率(Gilli & K¨ellezi,2006)。基于EVT的分位数估计被认为是任何投资组合股票市场风险的最佳预测指标。该系列的反向测试也称为使用历史价值的测试也支持相同的发现(Gencay & Selcuk, 2004)，一些与市场相关的活动，如对冲、信用分析和衍生品估值依赖于投资组合和投资组合估值的回报。EVT被发现在评估和管理极端财务风险方面非常有用(Diebold, et al.， 2000)。因此，估计资产回报的依赖性是投资组合分析的一个重要方面。推荐EVT的一些常见场景包括信贷违约、货币危机、股市动荡等(Singh, et al.， 2011)。个人的风险偏好各不相同，这反映在他们的投资组合选择上。
夏洛特顿论文代写：金融投资组合的风险管理
然而，当使用上述风险模型进行风险评估时，则采用经济情景和数学方法等外部或宏观因素对风险进行评估。这些模型在评估投资组合风险时没有考虑个人风险偏好。虽然EVT提供最大偏离常态的可能性(Gilli & K¨ellezi, 2006), VaR的次数的概率提供了可能发生的可能性(亨德里克斯,1996)。使用基于GARCH的VaR对一个投资组合进行风险评估，可以帮助预测交易组合在不断变化的经济环境中的风险(Singh, et al.， 2011)。因此，通过将这两种方法结合起来，可以帮助降低给定投资组合中的风险，从而成为当今金融市场风险管理的重要步骤。
夏洛特顿论文代写：金融投资组合的风险管理
Risk management of financial portfolios involves assessing the probability of extreme and rare events (Gilli & K¨ellezi, 2006). Quantile estimates based on EVT are seen to be the best predictors of stock market risk of any portfolio. Back testing of the series also called testing using historical values also supports the same findings (Gencay & Selcuk, 2004), Several market-related activities like hedging, credit analysis and derivatives valuation is dependent on the returns from the portfolio and portfolio valuation. EVT is found to be extremely helpful in both assessing and managing extreme financial risk (Diebold, et al., 2000). Thus, estimating the dependence of returns from an asset is an important aspect of portfolio analysis. Some of the common scenarios wherein EVT is recommended includes credit defaults, currency crisis, stock market turmoils and so on (Singh, et al., 2011). The risk appetite of individuals varies and this is reflected in their portfolio choices.
夏洛特顿论文代写：金融投资组合的风险管理
However, when risk is assessed using the above mentioned risk models, external or macro factors like economic scenario and mathematical methods are used to assess the risk. These models do not consider individual risk appetite when assessing portfolio risk.While EVT provides for the possibility of the maximum deviation from the norm (Gilli & K¨ellezi, 2006), VaR provides the probability of the number of times the possibility may occur (Hendricks, 1996). The risk assessment of a portfolio done using the GARCH –based VaR helps to predict the risk of a trading portfolio in the changing economic environment that is commonly seen now-a-days(Singh, et al., 2011). Thus, by combining the two approaches togather help mitigate the risk in a given portfolio, and thus is an important step for risk management in today’s financial markets.
