| 风险测量方法VaR及其修正模型 |
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| 引用本文： | 蒋望东. 风险测量方法VaR及其修正模型[J]. 绍兴文理学院学报, 2005, 0(1) |
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| 作者姓名： | 蒋望东 |
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| 作者单位： | 绍兴文理学院计算机系 浙江绍兴312000 |
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| 摘 要： | VaR由于其概念简单易于理解,成为目前市场上通用的衡量市场风险的指标.文章介绍了风险度量指标VaR的概念及方法,指出了VaR的两大缺陷;还介绍了它的两个修正模型CVaR和CDaR的概念及其计算方法,并比较了它们的优缺点.
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| 关 键 词： | 运筹学 投资组合 线性规划 CVaR CDaR |
Risk Measure VaR and Its Modified Model |
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| Jiang Wangdong. Risk Measure VaR and Its Modified Model[J]. Journal of Shaoxing College of Arts and Sciences, 2005, 0(1) |
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| Authors: | Jiang Wangdong |
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| Abstract: | The Value - at - Risk (VaR) is widely used as a risk measure index because of its simple notion. This paper introduces the concept of VaR and explains its two defects. Then it explains two modified models: CVaR and CDaR, and describes their advantages as compared with VaR. |
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| Keywords: | operational research portfolio linear programming CVaR CDaR |
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