基于VaR(风险价值)的金融投资的研究

Study on Financial Investment Based on the Technique of Value-at-risk

近年发展来的VaR风险管理技术是一种用来评估和计量金融市场风险的统计学模型及方法 .本文省去了复杂繁琐的数学公式的演绎 ,从理论上简要地阐明了VaR风险管理技术的原理 ,并介绍了VaR风险管理技术之所以被国际金融界广泛认可的优点 ,同时也指出了作为一个金融数理模型所存在的缺陷 .并介绍了VaR风险管理技术在银行业、证券业及金融衍生品等中的应用 .指出发展符合我国国情的VaR风险管理技术的必要性和发展方向 .

The value-at-risk (VaR) model has developed recently is a statistical model to estimate and control financial risk. This paper briefly illustrates the theory of VaR without too many details of mathematics formulas introduces the excellent factors which are accepted by the international financial organizations, and points out the failure of the mathematical model. In addition,the application in the bank,security business and the derivative products. This paper also points out the necessity and the developing trend of the technique in China is introduced and is pointed out.