VaR方法在资产管理风险控制中的实证研究

Empirical Research on Risk Control of Asset Management by VaR Method

本文使用国际通行的VaR方法来研究证券投资公司资产组合管理的风险计量、分析和控制。建立了以VaR为主要风险控制指标的风险管理模型,并进行了相应的实证研究和探讨。目的是对证券投资公司的资产组合管理进行定量研究,为证券投资公司风险定量化管理提供理论和实证的支持和借鉴。

This article deals with risk management, analysis and control of asset combination and management in securities and investment companies by VaR method, an international practice, and builds a risk management model with VaR as the main risk control index to carry out empirical research and discussion. It conducts quantitative research of assets combination and management in securities and investment, aiming at providing theoretical support and experience in quantitative risk management