Measuring Market Risk in Asset Management
给出了市场风险的实际定义，并展示了如何度量它，包括VaR、ES和EVaR等风险指标，以及如何将这些指标融入投资组合选择策略，通过包含两种债券和两种股票的投资组合案例进行说明。
In this article, we offer a practical definition of market risk and show how to measure it. Beginning with an overview of fundamental concepts, such as asset returns, volatility, and correlation, we proceed to explain the estimation of widely used risk metrics, namely the value at risk (VaR) and the expected shortfall (ES), as well as the less commonly known expectile-based VaR (EVaR). Furthermore, we illustrate how these risk measures can be integrated into portfolio selection strategies. To provide practical insight, we consider a portfolio comprising two bonds and two stocks as a case study. Through this example, we apply the discussed concepts in real-world scenarios. Additionally, we present several examples to enhance the reader comprehension and facilitate a deeper understanding of the material