投资组合的风险度量问题研究

本文研究CVaR模型对投资组合的风险度量问题,将VaR与CVaR两个风险度量模型进行比较,指出当今流行的风险管理模型VaR的缺陷,分析了CVaR模型进行风险管理的优势,以及用CVaR模型来代替VaR模型作为金融机构风险管理主要工具的重要性。

Risk Measure of Portfolio Based on Pattern Comparison VaR with CVaR

This paper studies risk measurement for portfolios using CVaR model,and analyzes comparatively two risk measurement models,VaR and CVaR.We point out defects of the popular VaR model for risk management,contrary to which the advantages of the CVaR model are discussed,so we must pay attention to the importance of substitution of CVaR model for VaR model in the financial institution work of risk management.