| VaR模型的理论及应用 |
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| 引用本文： | 段霞.VaR模型的理论及应用[J].洛阳师范学院学报,2011,30(5):13-14,21. |
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| 作者姓名： | 段霞 |
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| 作者单位： | 淮北师范大学教学科学学院,安徽,淮北,235000 |
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| 摘 要： | 风险价值理论(Value at Risk,简称VaR)是一种预测市场风险最常用的方法.对于由不同市场因子、不同金融工具所构成的投资组合和不同业务部门的投资组合,VaR都可以相对可靠地衡量其市场风险.本文主要介绍了VaR的定义.计算方法及其应用.
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| 关 键 词： | 风险价值 VaR利率风险 VaR资产组合 |
Theory and Application of VaR Model |
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| DUAN Xia.Theory and Application of VaR Model[J].Journal of Luoyang Teachers College,2011,30(5):13-14,21. |
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| Authors: | DUAN Xia |
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| Institution: | DUAN Xia(Huaibei Normal University,Huaibei 235000,China) |
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| Abstract: | Value at Risk(VaR) theory is a commonly used method of forecasting market risk.For equity portfolios consisting of different market factors or different financial instruments and those that consist different sectors,VaR can reliably evaluate the market risks.This paper introduces the definition,calculation and applications of VaR. |
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| Keywords: | Value at Risk VaR interest rate risks VaR equity portfolio |
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