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| 金融风险度量VaR与CVaR方法的比较研究及应用 | |
| 引用本文： | 景明利,张峰,杨纯涛.金融风险度量VaR与CVaR方法的比较研究及应用[J].统计与信息论坛,2006,21(5):84-87. |
| 作者姓名： | 景明利 张峰 杨纯涛 |
| 作者单位： | 1. 西安财经学院,统计学院,陕西,西安,710061 2. 郑州航空工业管理学院,数理系,河南,郑州,450015 3. 西安交通大学,理学院,陕西,西安,710049 |
| 摘 要： | 风险价值(VaR)是近年来受到国际金融界的广泛支持和认可的一种度量金融风险的工具。文章指出了风险价值(VaR)模型两个重大的缺陷,并对它和条件风险价值(CVaR)金融风险度量模型进行了详细的介绍和对比分析,给出了它们的共同点和CVaR在投资组合应用中的优势,结合中国金融市场的实际情况,指出CvaR在中国金融市场中应用应注意的问题,对其应用前景提出了新的思路。 |
| 关 键 词： | 金融风险 VaR 一致性准则 风险管理 |
| 文章编号： | 1007-3116(2006)05-0084-04 |
| 修稿时间： | 2006年4月16日 |
Comparsion of the VaR Method and the CVaR Method in Financial Risk Measure and Their Applications |
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| JING Ming-Li,ZHANG Feng,YANG Chun-tao.Comparsion of the VaR Method and the CVaR Method in Financial Risk Measure and Their Applications[J].Statistics & Information Tribune,2006,21(5):84-87. | |
| Authors: | JING Ming-Li ZHANG Feng YANG Chun-tao |
| Abstract: | Value at Risk(VaR) model recently has been a popular method of financial risk measure,(supported) and accepted extensively in international financial community.This essay shows two limitations of fundamental theory of VaR and prensents some computing methods of VaR.We show their advantages and give introductions to their application.Put these methods in the case of China's financial market,we point out some tricky points of them and their broad application capacity. |
| Keywords: | financial risk Value at Risk coherent axiom risk management |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |