金融市场风险测量模型的计算方法研究与比较

Research and Comparison of Calculation Methods for Risk Measurement Mode in Financial Market

目前,VaR已经成为现代国际金融界风险测量、监控和管理的主流方法。通过对国内外关于金融市场风险管理文献的学习、研究,在以有的文献基础上,系统全面地介绍了VaR值的计算方法,指出了几种方法的优缺点,并进行了比较研究,为进一步探讨VaR方法在金融风险管理中的应用、并对我国金融机构和投资者管理市场风险,具有一定的参考价值。

VaR has become the mainstream method for risk measurement, monitoring and management in modem international financial community. On the basis of some existing literature, the paper systematically introduces the calculation methods of VaR value through studying risk management literature in financial markets at home and abroad, and points out the advantages and disadvantages of several methods, and then conducts comparative study. It has some reference value for further exploring VaR methods in application in financial risk management and financial institutions and investors managing market risk.