| 金融风险计量研究--基于VaR模型的分析 |
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| 引用本文： | 孔顺军.金融风险计量研究--基于VaR模型的分析[J].价值工程,2005,24(7):21-24. |
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| 作者姓名： | 孔顺军 |
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| 作者单位： | 苏州大学商学院,苏州,215021 |
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| 摘 要： | 本文通过分析风险的本质涵义,提出了定量分析金融风险的路径;通过回顾对于金融风险定量研究的一些模型和方法,详细介绍了VaR模型及其估计技术,指出了风险定量技术的广阔应用前景。
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| 关 键 词： | 金融风险 风险的计量 下偏矩方法 VaR模型 |
| 文章编号： | 1006-4311(2005)07-0021-04 |
Study of Financial Risk Measurement-Analysis Based on VaR Model |
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| Kong Shunjun.Study of Financial Risk Measurement-Analysis Based on VaR Model[J].Value Engineering,2005,24(7):21-24. |
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| Authors: | Kong Shunjun |
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| Abstract: | By analysing the essential meaning of risk ,we propsed the path of financial risk anylasis quantificatinally;reviewed some models and methods of financial risk measurement;introduced VAR model and its estimate technic in detail;at last we put for- warded its wider application foreground. |
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| Keywords: | minancial risk measurement of risk lower partial moments VaR model |
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