| VaR方法及其在中国股票市场的风险度量研究 |
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| 引用本文： | 史天雄,钱锦晔.VaR方法及其在中国股票市场的风险度量研究[J].中国地质大学学报(社会科学版),2010,10(4). |
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| 作者姓名： | 史天雄 钱锦晔 |
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| 作者单位： | 1. 四川大学,经济学院,四川,成都,610064
2. 对外经济贸易大学,金融学院,北京,100029 |
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| 摘 要： | 近年来,国际金融市场利率与汇率动荡起伏,科学技术的迅猛发展以及金融管制的放松导致银行面临着前所未有的市场风险,风险管理已经成为重要内容.在各种衡量金融风险大小的方法中,VaR(Value at Risk,风险价值)法最受金融界的重视.VaR模型结果一目了然,能够提供管理者一个确定的量化指标,并且计算方法较简单.具有极强的可操作性.它不仅用于银行自身市场风险的防范,还可以协助银行监管机构进行监管和测量资本充足率.
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| 关 键 词： | 市场风险 蒙特卡洛模拟法 |
Market Risk Measurement of Stock Index in China Based on VaR Models |
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| SHI Tian-xiong,QIAN Jin-ye.Market Risk Measurement of Stock Index in China Based on VaR Models[J].Journal of China University of Geosciences(Social Sciences Edition),2010,10(4). |
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| Authors: | SHI Tian-xiong QIAN Jin-ye |
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| Institution: | SHI Tian-xiong1,QIAN Jin-ye2(1.School of Economics,Sichuan University,Chengdu 610064,China,2.School of Banking and Finance,University of International Business and Economics,Beijing 100029,China) |
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| Abstract: | In recent years,due to such factors as the volatility of international financial market,the rapid development of science and technology,and the loosening of monetary control,banks are faced with the market risk.The value-at-risk measure is an important breakthrough of methods for resisting market risks.It provides a statistically sound and easily understandable basis for managing market risks and serves as the foundation of the new regulatory requirements for internationally active banks. |
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| Keywords: | VaR |
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