VaR 计算方法

Lesson Overview

In "Quant Risk Framework" → "VaR 框架", this lesson "VaR 计算方法" builds knowledge you can apply immediately.

VaR以给定置信水平和持有期描述损失分位，不是最坏损失。历史分位的算法在小样本会显著影响结果，必须明确排序与取整。 收益转损失正号→按升序排→用nearest-rank的ceil(p×n)位置→给样本量/持有期→另做尾部压力。 本课作业：损失排序−2/−1/0/1/2/3/4/5/6/10，按nearest-rank求90%VaR。

Core Concepts

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

• ▸VaR以给定置信水平和持有期描述损失分位，不是最坏损失。历史分位的算法在小样本会显著影响结果，必须明确排序与取整。
• ▸收益转损失正号→按升序排→用nearest-rank的ceil(p×n)位置→给样本量/持有期→另做尾部压力。
• ▸本课作业：损失排序−2/−1/0/1/2/3/4/5/6/10，按nearest-rank求90%VaR。

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 "VaR 框架"—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 VaR 计算方法 on your own.