组合 VaR 与 ES

Lesson Overview

In "Portfolio Strategies & Risk" → "组合层风控", this lesson "组合 VaR 与 ES" builds knowledge you can apply immediately.

组合VaR与ES要基于联合组合损失而非各自数字相加。置信度、持有期、损失正负号与尾部算法必须一致。 先按权重逐期组合→收益转正损失→排序→用明确分位求VaR→按约定尾部求ES→列样本限制。 本课作业：同一天A亏100、B赚80，组合损失多少？能否把各自最差日100与120直接当同日损失220？

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸组合VaR与ES要基于联合组合损失而非各自数字相加。置信度、持有期、损失正负号与尾部算法必须一致。
• ▸先按权重逐期组合→收益转正损失→排序→用明确分位求VaR→按约定尾部求ES→列样本限制。
• ▸本课作业：同一天A亏100、B赚80，组合损失多少？能否把各自最差日100与120直接当同日损失220？

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "组合层风控"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of 组合 VaR 与 ES on your own.