风险价值模型(Value at Risk)

VaR模型R语言实例:

library(PerformanceAnalytics)
data(edhec)

# first do normal VaR calc

VaR(edhec, p=.95, method="historical")
##     Convertible Arbitrage CTA Global Distressed Securities
## VaR              -0.01916    -0.0354             -0.018875
##     Emerging Markets Equity Market Neutral Event Driven
## VaR        -0.044605             -0.006385     -0.02254
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR               -0.00929     -0.01624          -0.02544        -0.013455
##     Relative Value Short Selling Funds of Funds
## VaR      -0.013175      -0.07848      -0.021265
# now use Gaussian

VaR(edhec, p=.95, method="gaussian")
##     Convertible Arbitrage  CTA Global Distressed Securities
## VaR           -0.02645782 -0.03471098            -0.0221269
##     Emerging Markets Equity Market Neutral Event Driven
## VaR      -0.05498927          -0.008761813  -0.02246202
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR            -0.01900198  -0.02023018       -0.02859264      -0.01152478
##     Relative Value Short Selling Funds of Funds
## VaR    -0.01493049   -0.08617027    -0.02393888
# now use modified Cornish Fisher calc to take non-normal distribution into account

VaR(edhec, p=.95, method="modified")
##     Convertible Arbitrage  CTA Global Distressed Securities
## VaR           -0.03247395 -0.03380228            -0.0274924
##     Emerging Markets Equity Market Neutral Event Driven
## VaR      -0.06363081           -0.01134637  -0.02812515
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR             -0.0246791  -0.01548247       -0.03037494      -0.01486869
##     Relative Value Short Selling Funds of Funds
## VaR    -0.01926435   -0.07431463    -0.02502852
# now use p=.99

VaR(edhec, p=.99)
##     Convertible Arbitrage  CTA Global Distressed Securities
## VaR            -0.1009223 -0.04847019           -0.06533764
##     Emerging Markets Equity Market Neutral Event Driven
## VaR       -0.1397195           -0.04404136  -0.06385154
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR            -0.05850228  -0.02437999       -0.05508705      -0.03630211
##     Relative Value Short Selling Funds of Funds
## VaR      -0.050531     -0.122236    -0.05500037
# or the equivalent alpha=.01

VaR(edhec, p=.01)
##     Convertible Arbitrage  CTA Global Distressed Securities
## VaR            -0.1009223 -0.04847019           -0.06533764
##     Emerging Markets Equity Market Neutral Event Driven
## VaR       -0.1397195           -0.04404136  -0.06385154
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR            -0.05850228  -0.02437999       -0.05508705      -0.03630211
##     Relative Value Short Selling Funds of Funds
## VaR      -0.050531     -0.122236    -0.05500037
# now with outliers squished

VaR(edhec, clean="boudt")
##     Convertible Arbitrage  CTA Global Distressed Securities
## VaR            -0.0192821 -0.03380228           -0.02281122
##     Emerging Markets Equity Market Neutral Event Driven
## VaR      -0.05335613          -0.006583541  -0.02588255
##     Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
## VaR            -0.01947099  -0.01612116       -0.02997413      -0.01255334
##     Relative Value Short Selling Funds of Funds
## VaR     -0.0147671   -0.07881339    -0.02474761
# add Component VaR for the equal weighted portfolio