使用R中的历史方法对分量VaR无贡献 [英] No contribution in component VaR using historical method in R

问题描述

我是R的新手.我正在使用软件包 PerformanceAnalytics 计算投资组合的成分VaR.

如果使用高斯方法，它将返回贡献.

I am new to R. I am using package PerformanceAnalytics to calculate Component VaR of portfolio.

If I use gaussian method, it returns contribution.

> VaR(edhec, p=.95, method="gaussian", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
$VaR
           [,1]
[1,] 0.01193358

$contribution
 Convertible Arbitrage             CTA Global  Distressed Securities       Emerging Markets  Equity Market Neutral           Event Driven Fixed Income Arbitrage 
          0.0014400703           0.0003687009           0.0012961865           0.0032090406           0.0003479361           0.0013848605           0.0010051944 
          Global Macro      Long/Short Equity       Merger Arbitrage         Relative Value          Short Selling         Funds of Funds 
          0.0011151866           0.0015860006           0.0004412756           0.0009265836          -0.0027498306           0.0015623733 

$pct_contrib_VaR
 Convertible Arbitrage             CTA Global  Distressed Securities       Emerging Markets  Equity Market Neutral           Event Driven Fixed Income Arbitrage 
            0.12067381             0.03089608             0.10861675             0.26890849             0.02915606             0.11604738             0.08423244 
          Global Macro      Long/Short Equity       Merger Arbitrage         Relative Value          Short Selling         Funds of Funds 
            0.09344947             0.13290235             0.03697764             0.07764507            -0.23042800             0.13092245 

>

但是，如果我使用历史方法，它只会返回单个投资组合级别的值

But If I use historical method it just returns a single portfolio level value

> VaR(edhec, p=.95, method="historical", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
[1] 0.01439231
> 

这是正确的吗?我想念什么吗?

Is this correct? Am I missing something?

编辑
我想使用历史模拟方法来计算每个零件的成分VaR.

EDIT
I want to calculate component VaR of each part using historical simulation method.

推荐答案

历史"方法不是模拟"方法.它是对已实现的历史损失分位数的一种度量.

The 'historical' method is not a 'simulation' method. It is a measure of the realized historical loss quantile.

我在R-Forge的1.4.3574版中为PerformanceAnaltytics添加了历史贡献.

I have added historical contribution to PerformanceAnaltytics in v 1.4.3574 on R-Forge.

您的示例现在产生:

> VaR(edhec, p=.95, method="historical", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
$hVaR
  hVaR 95% 
0.01419502 

$contribution
Convertible.Arbitrage             CTA.Global  Distressed.Securities       Emerging.Markets  Equity.Market.Neutral           Event.Driven Fixed.Income.Arbitrage           Global.Macro      Long.Short.Equity 
        -0.0006396664          -0.0001887839          -0.0007621405          -0.0020091076          -0.0001331756          -0.0008771216          -0.0004113300          -0.0006202640          -0.0010782781 
  Merger.Arbitrage         Relative.Value          Short.Selling         Funds.of.Funds 
     -0.0002735736          -0.0005046562           0.0012263158          -0.0008257281 

$pct_contrib_hVaR
 Convertible.Arbitrage             CTA.Global  Distressed.Securities       Emerging.Markets  Equity.Market.Neutral           Event.Driven Fixed.Income.Arbitrage           Global.Macro      Long.Short.Equity 
        0.09012547             0.02659862             0.10738139             0.28307218             0.01876371             0.12358159             0.05795412             0.08739178             0.15192344 
  Merger.Arbitrage         Relative.Value          Short.Selling         Funds.of.Funds 
        0.03854501             0.07110328            -0.17278113             0.11634054 

它现在可以从SVN中获得，应该以"soon"二进制形式提供，并且将包含在PerformanceAnalytics的下一版本中

It is available from SVN now, should be available in binary form 'soon', and will be included in the next release of PerformanceAnalytics

这篇关于使用R中的历史方法对分量VaR无贡献的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！