Analysis Procedure Details

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Analysis Procedure Details

机译：分析程序详细信息

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Standard deviation alone does not lead to an estimation of the probability of loss for an asset. It must be couched in a market model. Geometric Brownian motion is a common tool by which financial practitioners translate standard deviation of returns into risk of loss. The model asserts that the price of an asset at time t is:S_t=S_0exp[(μ-1/2σ~2)t+Zσt~(1/2)] Where S_t is the price of the asset at time, t, S_0 is the asset's price at time 0 (the time at which we are projecting the risk of loss forward), μ and σ are the asset's drift and standard deviation. Z is a standard normal random variate - thus the price S_t is represented statistically rather than in a deterministic fashion.We can transform this into a probability of loss of a certain amount at a certain time horizon by first solving for Z which yields:

机译：仅凭标准差并不能得出资产损失的可能性的估计。必须采用市场模型。几何布朗运动是金融从业人员用来将收益标准差转化为损失风险的常用工具。该模型断言，资产在时间t的价格为：S_t = S_0exp [（μ-1/2σ〜2）t +Zσt〜（1/2）]其中S_t是资产在时间t的价格， S_0是资产0时的价格（我们正预测未来亏损风险的时间），μ和σ是资产的漂移和标准差。 Z是标准的正常随机变量-因此价格S_t用统计的方式而不是确定性的方式表示，我们可以通过首先求解Z来将其转换为在特定时间范围内损失一定数量的概率：

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《Futures》 |2014年第8期|23-23|共1页
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Analysis Procedure Details

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