Improving of tree algorithm in calculation portfolio VaR
Fengxian Zhang · IEEE Software · 2012
Foreign countries have had a series of financial crisis in the early 1990s.Those crisis brought billions of loss and financial institutions bankruptcy. The risk value depends on its clear economic meaning and operability to become the mainstream of risk measuring methods in financial market. This paper puts forward the calculation of VaR tree algorithm, mainly explains algorithm implementation process in four kinds of situations. And give examples for different cases to confirm. The functions of tree algorithm are correction and improving to the same type of algorithm. The new algorithm is simpler, more convenient and more practical. It also can reduce a large number of parameter estimation and calculation.