风险价值方法在金融风险度量中的应用

Value-at-Risk Methodolgy and its Application in Risk Measurement of Financial Market

风险价值方法 (Value- at- Risk)是近年来发展起来的用于测量和控制金融风险的量化模型。本文提出了计算风险价值的一种新方法——完全参数方法 ,它本质上是参数方法和极值理论的结合运用 ,在证券市场上的实证研究表明该方法优于目前流行的 Risk

Value-at-Risk model developed recently is a mathematical model to measure and monitor market risk. This article puts forward a new model called total-parametric method to calculate VaR, which is in essence the mixture of parametric method and extreme value theory. Positive Research in stock market show this new model gains an advantage over RiskMetrics which is a popular parametric method.