基于VaR的我国农村金融机构市场风险的度量与实证

The Measurement and Empirical Analysis about Market Risk of Rural Financial Institutions of Our Country Based on VaR

金融机构市场风险是近几年风险管理的重点内容之一,VaR是度量风险值最有效的方法。构建基于VaR的度量模型对我国农村金融机构2003年一2009年的市场风险损失量的月度数据进行实证分析,计算出99%置信区间的VaR值,为农村金融机构的市场风险管理奠定基础。

Market risk is one of the key elements of rural financial institutions of our country risk management in recent years and VaR is the most effective way to measure risk value.This paper builds a model based on the VaR to measure the amount of the loss of market risk of China's rural financial institutions.It uses the sample data,monthly data,from 2003 to 2009 to analysis and calculate the VaR value at 99%significant level Meanwhile it lays the foundation for market risk management for rural financial institutions.