VaR原理及其在风险管理中的应用

风险价值(VaR)作为一种测定市场风险的工具,受到了国际金融界的广泛支持和认可.根据VaR的基本原理,介绍了计算VaR的历史模拟法、蒙特卡洛模拟法、参数法及半参数法,比较了各种计算方法的优缺点及适用条件,最后指出应用VaR衡量市场风险时需注意的问题.将VaR方法引入中国金融风险管理领域,能为金融机构和投资人提供一种行之有效的市场风险管理工具,也能为金融监管部门提供一个风险管理的标准,对我国的金融市场建设有着重大的现实意义.

VaR Theory and Its Application to Risk Management

As a financial tool for market risk measurement, VaR (value at risk) is accepted extensively in international financial community. According to the fundamental theory of VaR, some calculating methods of VaR, are introduced, such as Historical Simulation, Monte Carlo Simulation, parametric and semi-parametric methods. Then, their merits and appropriate conditions are compared with each other, with the key points in measuring market risk by VaR is pointed out. Introducing VaR method in the field of Chinese financial risk management will provide, an effective tool of market risk management to financial institution and investor, as well as a standard for management. It is of significance to the building the financial market in China.