| 金融市场风险测量的VaR方法及其应用 |
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| 引用本文： | 程盛芝,吴恒煜. 金融市场风险测量的VaR方法及其应用[J]. 商业研究, 2002, 51(22): 109-111 |
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| 作者姓名： | 程盛芝 吴恒煜 |
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| 作者单位： | 西安交通大学,管理学院,陕西,西安,710049 |
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| 摘 要： | 近年来 ,金融市场的波动性增加 ,金融机构需要准确的测量其市场风险。对市场风险的正确测量构成了市场风险管理的基础。在介绍广泛应用于测量市场风险的VaR的实质、计算方法及发展方向的基础上 ,探讨其在我国金融市场风险管理中的应用
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| 关 键 词： | 风险 VaR(Value-at-Risk) 置信区间 持有期 |
| 文章编号： | 1001-148X(2002)11下-0109-02 |
| 修稿时间： | 2002-01-15 |
The VaR Method and its Application For Finance Market Risk Measurement |
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| Abstract: | In recent years the fluctuation of finance market have been increasing and financial institutions need to precisely measure the market risk. The correct measurement of market risk forms the fundamental part of market risk management. The main purpose of this article is to introduce what the VaR is, which is widely used in market risk measurement, its calculation method and development, and to discuss its application in finance market risk management in our country. |
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| Keywords: | VaR(Value-at-Risk) |
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