在险价值(VaR)计量方法的解析与研究

Comparative Research on Measurements to Value-at-Risk (VaR)

在险价值是近年来发展起来的一种用于量化和控制金融风险的模型。本文在介绍在险价值基本思想的基础上,对常用的四种在险价值计量方法进行逐一介绍,并分析每种方法的优点和局限性;最后,对在险价值及计量方法进行总的评述。

Value-at-Risk （VaR） is a model developed in recent years to quantize and control financial risk. This paper will introduce the four common measurements based on the genera/idea of VaR, and analyse their excellencies and limitations. In the end, this paper gives general commentary to VaR and Compares the four measurements.