历史模拟法

VaR的三种传统度量方法有：方差协方差法、历史模拟法、蒙特卡罗模拟法。

Three traditional measures methods of VaR are : variance-covariance method , historical simulation , Monte Carlo simulation .

本章分析了VaR的三种计算方法：历史模拟法、参数法和蒙特卡洛模拟法，三种方法都是基于历史数据计算出VaR值，但又有各自的特点和适用范围。

This chapter analyses three main calculating methods of VaR : Historical Simulation , Variance - Covariance and Monte Carlo Simulation .

对分析法、历史模拟法和蒙特卡罗模拟法这三种国内计算VaR的主要方法进行了比较。

The analytical method , history simulation method and Monte Carlo Simulation are contrasted .

其次，对VaR计算的基本原理与方法进行了全面的阐述，其中详细论述了三种典型的VaR计算方法：历史模拟法、解析法及MonteCarlo模拟法。

There are three typical calculating method of VaR : History Simulation Method , Analytic Method and Monte Carlo Simulation Method .

结果显示，贷款期为三个月的部分情况下利用历史模拟法计算VaR值能通过回顾测试检验，而其余均不能通过检验。

The results show that , only under the condition of three months loan period could pass the review test .

接着，本文介绍了VaR计算的三个基本方法，分别为参数法（方差&协方差法）、历史模拟法和蒙特卡罗模拟法。

This article described the three basic methods for computing VaR , parameter method ( variance-covariance method ), historical simulation and Monte Carlo simulation , respectively .

在模型中，流动性风险调整的VAR计算方法有三种，分别为方差-协方差法，历史模拟法和蒙特卡罗法。

In this model , the liquidity risk-adjusted VAR could be calculate in three ways , including the variance-covariance method , historical simulation and Monte Carlo method .

在众多计算VaR的方法中，历史模拟法以其概念直观、计算简单、容易实施等特点，被越来越广泛地应用到市场风险控管的实务性操作中。

Among them , Historical Simulation method has grown increasing popular in practice because it is very easy to be applied and also very intuitive to be understood .

并将基于广义帕雷托分布的VaR模型和其它模型方法，如GARCH（1,1）、GARCH（1,1）-t、历史模拟法、方差-协方差方法，进行比较分析。

We compare this model with other well-known model such as GARCH ( 1,1 ), GARCH ( 1,1 ) - t , variance-covariance method and historical simulation .

目前VaR方法作为风险管理的主流测量方法得到理论界和实务界的广泛运用，其方法包括历史模拟法、分析方法、蒙特卡洛模拟法。

It has been widely used for by theory circles and practice circles . The traditional methods of calculating VaR include historical simulation approach , analytical method and Monte Carlo simulation method .

本文选用历史模拟法方法计算不同条件下铜现货的VaR值，并用回顾测试对计算结果进行检验，作为质押率确定的依据。

This thesis calculated the VaR of copper under different conditions with historical simulation , and then checked the results with the review test , taking it as a basis for determining the rate pledge .

本文选择了目前应用较广而且较为简洁的历史模拟法和分析方法中的GARCH模型作为实证研究的模型。

This paper selects the historical simulation model and GARCH model as the models of positive research , because the two models are popularly applied and relatively concise .

通过比较历史模拟法和GARCH模型下VaR值的特点和准确性程度，得出的结论是GARCH模型更具有优势。

Through comparing the features and accuracy degrees of the VaR value of the historical simulation method and GARCH model , this paper holds that the GARCH model has better advantages .

然后比较详细地介绍了三种传统的VaR计算方法&历史模拟法、蒙特卡罗模拟法和分析法（方差-协方差法），并对这三种计算方法从多方面进行了比较。

Secondly , three kinds of traditional computing methods of VaR , such as History Simulation , Monte-Carlo Simulation and Variance-Covariance Simulation , have been introduced in detail , and then been compared from various aspects .

然后推导出了用历史模拟法、正态分布法和GARCH模型法计算期望损失值的具体公式.最后给出了一个用期望损失值方法优化投资组合的实际算例。

We derive three applied calculation formulas of ES with historical approaches , the normal distribution , and GARCH , and give an example of optimizing portfolio by ES .

第二节分别运用历史模拟法、分析方法和MonteCarlo模拟方法对上证180指数日几何收益率的VaR做了计算，并用QBASIC语言编程实现；

Section 2 computes SSE 180 index daily geometric return rate VaR with the three methods of historical simulation , analysis and Monte Carlo simulation and this has been realized by a QBASIC program .

该部分中主要介绍了GARCH族模型和基于RiskMetrics的混合正态分布两种参数方法，以及历史模拟法和蒙特卡罗模拟法两种非参数方法。

This part introduces two parameter method , one is the GARCH models , the other is the mixed normal distribution based on Risk Metrics model , and also introduce two non-parametric methods called historical simulation and Monte Carlo simulation .

从实际运用可以看出，GARCH模型能够更好地模拟收益率序列的分布特征，因此它对VaR水平的估计相较历史模拟法来说更为准确。

Practical application indicates that GARCH model can yield better simulate the distribution features of the sequence of VaR level , so it is compared with the estimated history simulation method , more accurately .

通过对上海和深圳股票市场在分析法、历史模拟法和稳定分布三种模型下的VaR的返回检验，结果表明稳定分布下VaR模型能够较好的度量中国股票市场风险。

Through the backing test of Shanghai and Shenzhen stock market under the three model of analytical method , historical simulation method and stable distribution , the result shows the VaR model can measure the risk of stock market in China .

发现样本数据具有尖峰厚尾性质、自相关性和平稳性。采用历史模拟法、正态模型法、Laplace模型法、蒙塔卡洛模拟法和极值理论五种计算方法估计了沪深300指数的VaR。

We can find that the sample data has high peaks and fat tails properties.2.VaR of Hushen 300 index is estimated by Historical Simulation Method , Normal Model Method , Laplace Model Method , Monte Carlo Simulation Method , Extreme Value Theory .

本文介绍了VaR的起源和定义，概述了VaR的三种主要计算方法：参数方法、历史模拟法和蒙特卡罗模拟法，并对这三种计算方法的优缺点做了简单的述评。

In this review , the origin and definition of VaR are introduced , and three main approaches to VaR computation ( i.e. , parametric approach , historical simulation and Monte Carol simulation ) together with their respective advantages and disadvantages are outlined and reviewed .

常用的VaR的度量方法有协方差矩阵法、历史模拟法、蒙特卡罗模拟法，而在实际中常遇到的两个问题是波动率的计算和投资组合VaR的计算问题。

There are three commonly used methods for calculating VaR : Variance-Covariance Approach ; Historical Simulation Approach and Monte Carlo Simulation . However , when it comes to practice , two problems we often meet are the volatility calculating and the dependent structure of a portfolio .

混合历史模拟法在金融风险度量中的应用

The Application of Hybrid Historical Simulation Method in Measuring Financial Risk

在计算过程中也是分别使用了历史模拟法和参数法（方差&协方差法）。

During the calculation processe the author respectively use history imitate method and parameter method .

一种是非参数的模拟方法，包括历史模拟法和蒙特卡罗模拟法。

The first one is called nonparametric technique , including historical simulation and Monte Carlo simulation methods .

与传统的风险测量方法相比，方差-协方差法和历史模拟法在精确量化投资风险方面具有简捷易行的显著优势。

Compared with traditional methods , it has distinct merits of simple and easiness in quantitating the investment risk .

对于市场风险的管理，主要是依靠历史模拟法对理财产品挂钩的指数进行趋势预测，进而预测未来理财产品的收益波动，以此为依据进行市场风险管理。

The market risk can be mainly managed by using historical simulation method to forecast index-linked financial products trend , and then to predict the future volatility of financial products .

第四章市场风险经济资本计量，介绍了商业银行市场风险计量的标准法和内部模型法，论文选用了历史模拟法的方法，并与标准法进行了对比分析；

Chapter Four is about measurement of market risk and introduces standard method and internal model method of measurement of commercial market risk . The thesis gives an empirical example using historical simulation method and compares the results with the standard method .

其中历史模拟法计算速度快，简单易于实现和理解，然而计算过程依赖于大量历史数据，难以满足市场的变化需求。

Historical simulation method is fast , simple and easy to implement and understand . The calculation process , however , is dependent on a large number of historical data , it is difficult to meet the changing needs of the market .

首先介绍了历史模拟法计算电力市场金融风险的基本原理，然后采用浙江省电力市场的历史运行数据，对电力市场次日的短期金融风险进行了实际预测。

The principle of the well-developed VaR ( value at risk ) historical simulation method for evaluating financial risk is first introduced . Then , based on historical data of Zhejiang electricity market , the short-term financial risk of the grid company in next day could be predicted .