VaR模型的理论及应用

Theory and Application of VaR Model

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.

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 seetors, VaR can reliably evaluate the market risks. This paper introduces the definition, calculation and applications of VaR.