VaR模型在金融领域的应用分析

根据对金融资产价格分布特征的不同假设 ,常用的风险价值 (ValueatRisk ,VaR)模型大体可分为以下三类 :得尔塔 -正态法、历史法和蒙特卡罗模拟法 ,该模型由于在量化风险和动态监管方面的独特优势 ,目前已经在欧美许多金融机构的内部风险管理、监管信息披露、业绩评估等方面获得广泛应用 ,随着我国金融市场的市场化程度的提高和投资工具的日益增多 ,引进该方法对提高我国金融风险管理水平有重要的现实意义

The Application Analysis of VaR in Risk Management

According to the different hypotheses on the distribution of asset's returns,VaR (Value at Risk) models can be sorted in three kinds:Delta-normal method,Historical stimulation method and Mote Carlo method.Because of its particular advantages in measuring and regulating risk,VaR has been employed widely in the internal risk management,regulatory information disclosure and performance evaluation of financial institutions in the western countries.With the improving of our financial market environment and the increasing of the kinds of investing instruments,it is an important issue to study this method and to apply it to our financial risk management.