The formula for calculating the VaR value is: P(ΔPΔt≤VaR)=a
The following is the basic process for calculating the VaR value:
First, calculate the sample reward Rate. Obtain the daily closing price of the sample and calculate its return rate. The formula is as follows:
Where R is the return rate, P is the closing price, and t is the time.
Second, calculate the sample mean and standard deviation: The sample mean and standard deviation are calculated by the following formulas:
Third, check whether the sample mean is zero. Since the number of samples is usually greater than 30, the statistic Z is used for detection.
Fourth, calculate the VaR value.
VaR=μ-Zaσ
Where α is 1-confidence level.
Assuming that the latest index closing price is 4839, then the total value of the futures contract is 4839×200= 967800. Then, investors should first select data for about half a year (usually using the daily return rate of the stock index ), then use the above four steps to calculate its unit risk coefficient, and finally multiply the unit risk coefficient by the total contract value to obtain the VaR value of the index futures contract. Of course, the more money an investor invests, the greater the risk he or she will take.
Extended information:
In 2012, more than 1,000 banks, insurance companies, investment funds, pension funds and non-financial companies have adopted the VaR method as a tool for risk management of financial derivatives. means. Using the VaR method for risk control allows each trader or trading unit to understand exactly how risky financial transactions they are conducting, and can set VaR limits for each trader or trading unit to prevent excessive speculation. 's appearance. If strict VaR management is implemented, major losses in some financial transactions may be completely avoided.
But the VaR method also has its limitations. The VaR method mainly measures market risk. If you rely solely on the VaR method, you will ignore other types of risks such as credit risk. Also, from a technical perspective. The VaR value indicates the maximum loss within a certain confidence level, but it does not absolutely rule out the possibility of losses higher than the VaR value.
Baidu Encyclopedia-VAR method
Baidu Encyclopedia-VAR method