摘要
VaR模型是近年来用于测量和控制市场风险的主要方法之一,分析了VaR模型的基本原理和考虑的主要因素,根据函数所反映的映射关系,将资产组合价值与其相关的市场风险因素的关系分为线性关系和非线性关系,推导了在正常市场条件下VaR值的计算方法,并探讨了VaR模型在投资组合构造、投资风险控制、信息披露、金融监管等方面的应用.
VaR model is one of methods to measure and control market risk. This paper analyzes VaR model principle and its main factors. According to function relation, the relationship between the portfolio value and its market risk factors are sorted in two kinds： linear and nonlinear. The method of calculating the VaR is put forward. Finally, the article analyzes the application of VaR model to portfolio, risk control, information disclosure and financial supervison.
出处
《重庆大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2006年第3期152-155,共4页
Journal of Chongqing University
关键词
VAR模型
证券投资
应用分析
VaR model
securities investment
application analysis
