| 金融资产的市场风险度量模型及其应用 |
| |
| 引用本文： | 陈金龙,张维.金融资产的市场风险度量模型及其应用[J].华侨大学学报(哲学社会科学版),2002(3):29-36. |
| |
| 作者姓名： | 陈金龙 张维 |
| |
| 作者单位： | 天津大学,管理学院,天津,300072 |
| |
| 摘 要： | 从理论和实用两方面综合介绍各种风险度量模型及其特点。根据风险度量模型的发展状况和特点，将其分为三类：方差及其变化模型、含基准点的风险度量模型和VaR及其变化模型，并总结了推动风险度量模型发展的主要动因。
|
| 关 键 词： | 风险质量模型 CVaR VaR |
| 文章编号： | 1006-1398(2002)03-0029-08 |
| 修稿时间： | 2001年10月17 |
Model for Measuring Market Risk of Financial Assets and Its Application |
| |
| CHEN Jin long,ZHANG Wei.Model for Measuring Market Risk of Financial Assets and Its Application[J].Journal of Huaqiao University(Humanities & Social Science),2002(3):29-36. |
| |
| Authors: | CHEN Jin long ZHANG Wei |
| |
| Abstract: | Various risk measuring models and their peculiarities are comprehensively represented from both theoretical aspect and practical aspect. According to their state of development and peculiarity, they are divided into three classes: model of variance and its variants; models of risk measurement containing reference point; and models of VaR and its variants. The chief agents which promote the development of risk measuring model are summarized. |
| |
| Keywords: | risk measuring model CVaR VaR |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
