StressVaR：一种优化资金配置的风险新概念
The StressVaR: A New Risk Concept for Superior Fund Allocation
摘要：
本文介绍了一种基于非线性因子模型的风险估计新方法--“StressVaR”（SVaR）。SVaR是为评估对冲基金的风险而开发的，似乎适用于各种投资。它的原理是利用对冲基金回报的相当短和稀疏的历史，在非常广泛的可能风险来源中识别相关的风险因素。通过校准一系列非线性单因子模型（与单个多因子模型相对）获得该风险概况。然后，我们使用风险概况和这些因素的悠久而丰富的历史来评估已知的过去危机对基金的可能影响，揭示其隐藏的风险和所谓的“黑天鹅”。在使用1060对冲基金的数据进行的回测中，我们证明了SVaR比几种常见的VaR度量具有更好或可比的特性-显示出较少的VaR例外，也许更重要的是，在例外的情况下，金额较小。然而，StressVaR的最终测试是将其用作资金分配工具。通过模拟一个现实的投资组合的对冲基金，我们表明，使用StressVaR构造的投资组合平均优于市场和投资组合构造使用普通的VaR措施。从2003年2月到2009年6月，StressVaR构造的投资组合每年超过市场约6%，平均竞争性VaR度量约3%。2007年8月至2009年6月的业绩数字更令人印象深刻。SVaR投资组合的表现优于市场20%，最佳竞争措施为4%。
英文摘要：
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. Its principle is to use the fairly short and sparse history of the hedge fund returns to identify relevant risk factors among a very broad set of possible risk sources. This risk profile is obtained by calibrating a collection of nonlinear single-factor models as opposed to a single multi-factor model. We then use the risk profile and the very long and rich history of the factors to asses the possible impact of known past crises on the funds, unveiling their hidden risks and so called "black swans". In backtests using data of 1060 hedge funds we demonstrate that the SVaR has better or comparable properties than several common VaR measures - shows less VaR exceptions and, perhaps even more importantly, in case of an exception, by smaller amounts. The ultimate test of the StressVaR however, is in its usage as a fund allocating tool. By simulating a realistic investment in a portfolio of hedge funds, we show that the portfolio constructed using the StressVaR on average outperforms both the market and the portfolios constructed using common VaR measures. For the period from Feb. 2003 to June 2009, the StressVaR constructed portfolio outperforms the market by about 6% annually, and on average the competing VaR measures by around 3%. The performance numbers from Aug. 2007 to June 2009 are even more impressive. The SVaR portfolio outperforms the market by 20%, and the best competing measure by 4%.
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