| 风险测量VAR及其原理 |
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| 引用本文： | 周天涛,柳明珠.风险测量VAR及其原理[J].价值工程,2013(12):181-182. |
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| 作者姓名： | 周天涛 柳明珠 |
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| 作者单位： | 咸宁职业技术学院,咸宁437100 |
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| 摘 要： | 用公式可表示为:Prob(△P>VAR}=1-a(其中Prob表示:资产价值损失小于可能损失上限的概率;△P表示:某一金融资产在一定持有期△t的价值失额;VAR表示:给定置信水平a下的在险价值,即可能的损失上限;a表示:给定的置信水平。)
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| 关 键 词： | 风险测量 VAR |
Risk Measurement of VAR and Its Principle |
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| Abstract: | It is expressed by the formula Prob(△P>VAR}=1-a.Thereinto,Prob represents that the loss of value of assets less than the probability of upper limit of possible loss;△P represents that the loss amount of value of certain financial asset during a certain holding period;VAR represents the VAR under given confidence level,namely,the possible upper limit of loss;a represents the given confidence level. |
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| Keywords: | risk measurement VAR |
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