ABSTRACT

Most risk indicators for an investment show the risk at a certain future time; they cannot reflect the risk over a time period, which may be more important than the risk at a certain time. We proposed Period Value at Risk (PVaR) for measuring market risk over a period of time, and a historical simulation method to estimate the PVaR of an investment. This paper suggests a method which uses Monte Carlo simulation to estimate PVaR. We can calculate the estimation error with this method, and determine the least number of simulations for getting a qualified estimation.

中文翻译：

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风险期值及其蒙特卡罗模拟估计

摘要

一项投资的大多数风险指标显示了未来某个时间的风险；它们不能反映一段时间内的风险，这可能比特定时间的风险更重要。我们提出了用于衡量一段时间内的市场风险的期间风险价值 (PVaR)，以及用于估计投资的 PVaR 的历史模拟方法。本文提出了一种使用蒙特卡罗模拟来估计 PVaR 的方法。我们可以用这种方法计算估计误差，并确定最少的模拟次数以获得合格的估计。