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首页> 外文会议>International conference on communication, devices and networking >Performance Analysis of Different Models to Find Value at Risk in the Indian Market Using a Bi-Portfolio Allocation
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Performance Analysis of Different Models to Find Value at Risk in the Indian Market Using a Bi-Portfolio Allocation

机译：使用双投资组合分配在印度市场中发现风险的不同模型的性能分析

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Risk analysis is one of the most important components of any financial decision and has been a subject of extensive research. We present here a comparative analysis of different methods to calculate value at risk (VaR) in the Indian Market. The models that have been explored are filtered historical simulations, Monte Carlo, historical simulation, and variance-covariance. The implementation was carried out in MATLAB, and the stock indices of NIFTY 50 and BSE SENSEX were used as a representative of the Indian Stock Market. The results obtained were first compared on the basis of time taken to calculate the risk incurred using six different datasets. They were also compared on the basis of whether the actual losses were within the calculated VaRs. A theoretical comparison on the various methods was also performed.
机译：风险分析是任何财务决策中最重要的组成部分之一，并成为广泛研究的主题。我们在此提出了对不同方法计算印度市场风险（VAR）价值的比较分析。已经过滤的模型是过滤的历史模拟，蒙特卡罗，历史模拟和方差协方差。实施是在MATLAB进行的，午项50和BSE Sensex的股票指数被用作印度股票市场的代表。首先在计算使用六种不同数据集产生的风险的时间基于时间进行比较所获得的结果。还基于实际损失是否在计算的变量内进行比较。还进行了各种方法的理论比较。

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