VAR及其基本原理

VAR and Its Base Theory

目前金融衍生品市场迅速发展 ,使金融风险管理成为热门话题。VAR是在正常市场环境下 ,给定一定时间区间和置信度水平 ,测度最大损失的方法 。

The market of financial derivatives is developing rapidly at present. All these make the ma-nagement on financial risk become the hot issue.VAR is the anticipated most heavy loss under the normal market environment wtth the given confident level and time horizon.This text has introduced the development course and definition of VAR.