| 风险测量VAR及其原理 |
| |
| 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, 0(12): 181-182 |
| |
| 作者姓名： | 周天涛 柳明珠 |
| |
| 作者单位： | 咸宁职业技术学院,咸宁437100 |
| |
| 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。)
|
| 关 键 词： | 风险测量 VAR |
Risk Measurement of VAR and Its Principle |
| |
| 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. |
| |
| Keywords: | risk measurement VAR |
| 本文献已被 万方数据 等数据库收录！ |
|
