| 商业银行市场风险管理中的VAR模型 |
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| 引用本文： | 戴科,彭智.商业银行市场风险管理中的VAR模型[J].价值工程,2005,24(8):24-27. |
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| 作者姓名： | 戴科 彭智 |
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| 作者单位： | 深圳大学中国经济特区研究中心,深圳,618060 |
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| 摘 要： | 巴塞尔新资本协议规定金融机构满足资本充足率的要求,并将风险分为信用风险、市场风险和操作风险。针对市场风险的管理,本文着重介绍VAR模型的概念、VAR的种类以及主要特点,并指出VAR面临的主要问题及其在我国金融应用的前景。
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| 关 键 词： | 巴塞尔新资本协议 市场风险 VAR模型 |
| 文章编号： | 1006-4311（2005）08-0024-04 |
VAR Model in the Risk Management of Market of Commercial Bank |
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| Dai Ke,PENG Zhi.VAR Model in the Risk Management of Market of Commercial Bank[J].Value Engineering,2005,24(8):24-27. |
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| Authors: | Dai Ke PENG Zhi |
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| Abstract: | The New Basel Capital Accord has regulated the minimum capital requirements of banks and consider the risks including credit risk, market risk and operation risk. As for market risk, the article will introduce the concept and the categories of VAR model and the trait of each. There is also the prospect of its application in chinese banks. |
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| Keywords: | the new basel capital accord market risk VAR model |
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