摘要
VaR是测量金融市场风险的主流方法,其在金融期货交易中有着非常重要的应用价值。本文主要介绍了金融期货交易风险的VaR测量,并通过导致巴林银行倒闭的尼克·里森构建的期货组合的风险测量来说明VaR的应 用。
VaR, with very important application values, is the mainstream in measuring the financial market risks. This paper mainly introduces how to measure the forward risk by VaR and illustrates the application of VaR through the example of Nick Leeson's forward portfolio that caused the Barings to be bankrupt.
出处
《南京理工大学学报（社会科学版）》
2002年第6期51-55,共5页
Journal of Nanjing University of Science and Technology：Social Sciences
