{"title":"过滤历史模拟的投资组合和指数变化","authors":"Heng Sun, Zhen Zhang","doi":"10.2139/ssrn.3776455","DOIUrl":null,"url":null,"abstract":"Filtered historical simulation is a popular method to compute VaR. The VaR values by this approach applied to a stock index and to the portfolio of the component stocks in the index can be quite different when the market is under stress. This paper examines the discrepancy. We concludes that the high correlation among stocks in a stressed market condition is the cause. The estimation shows that the two approaches would give consistent VaR when the overall stock correlations are about 40-50%.<br>","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"71 2","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio and Index Vars by Filtered Historical Simulation\",\"authors\":\"Heng Sun, Zhen Zhang\",\"doi\":\"10.2139/ssrn.3776455\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Filtered historical simulation is a popular method to compute VaR. The VaR values by this approach applied to a stock index and to the portfolio of the component stocks in the index can be quite different when the market is under stress. This paper examines the discrepancy. We concludes that the high correlation among stocks in a stressed market condition is the cause. The estimation shows that the two approaches would give consistent VaR when the overall stock correlations are about 40-50%.<br>\",\"PeriodicalId\":251522,\"journal\":{\"name\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"volume\":\"71 2\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-01-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3776455\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management & Analysis in Financial Institutions eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3776455","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Portfolio and Index Vars by Filtered Historical Simulation
Filtered historical simulation is a popular method to compute VaR. The VaR values by this approach applied to a stock index and to the portfolio of the component stocks in the index can be quite different when the market is under stress. This paper examines the discrepancy. We concludes that the high correlation among stocks in a stressed market condition is the cause. The estimation shows that the two approaches would give consistent VaR when the overall stock correlations are about 40-50%.
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