@RISK
Value at Risk (VAR)
Anybody who owns a portfolio of investments knows there is a great deal of uncertainty about the future worth of the portfolio. The concept of value at risk (VAR) has been used to help describe a portfolio's uncertainty. Simply stated, the value at risk of a portfolio at a future point in time is usually considered to be the fifth percentile of the loss in the portfolio's value at that point in time. In other words, there is considered to be only one chance in 20 that the portfolio's loss will exceed the VAR. To illustrate the idea, suppose a portfolio today is worth $100. We simulate the portfolio's value one year from now and find there is a 5% chance that the portfolio's value will be $80 or less. Then the portfolio's VAR is $20 or 20%. The following example shows how @RISK can be used to measure VAR. The example also demonstrates how buying puts can greatly reduce the risk in a stock. The two outputs represent the range of the percentage gain if we do not buy a put vs. the percentage gain if we do buy a put. The results illustrate there is a greater chance of a big loss if we do not buy the put, although the average return is slightly higher if we do not buy the put.
Example model: Var.xls
可以在下面的页面看到
http://www.palisade.com/industry/FinanceModels.asp#var
This example was taken from Chapter 45 of Financial Models using Simulation and Optimization by Wayne Winston, published by Palisade Corporation, where a detailed, step-by-step explanation can be found. It is also explained further in the @RISK User's Guide.
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