| VaR方法在金融风险管理中应用述评 |
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| 引用本文： | 田海霞,张晓东,刘强,田颖华. VaR方法在金融风险管理中应用述评[J]. 佳木斯大学社会科学学报, 2008, 26(5): 59-61 |
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| 作者姓名： | 田海霞 张晓东 刘强 田颖华 |
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| 作者单位： | 1. 佳木斯大学,经济管理学院,黑龙江,佳木斯,154007
2. 徐州华隆热电有限公司,江苏,徐州,211167 |
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| 基金项目： | 佳木斯大学科技处课题的部分成果;课题 |
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| 摘 要： | 风险价值——VaR可以测量由不同风险来源及其相互作用而产生的潜在损失，即可以全面的测量复杂证券组合的市场风险。因此，VaR方法提出后，倍受学术界和金融风险管理者的关注。本文对VaR方法产生的背景、VaR模型进行了阐述，分析了VaR方法在金融风险管理应用中存在的问题，对VaR方法的修正模型CVaR实际可行性进行论证。
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| 关 键 词： | VaR 一致性风险度量 证券组合 CVaR |
Review of VaR Way Used in Management of Financial Risk |
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| TIAN Hai-xia,ZHANG Xiao-dong,LIU Qiang,TIAN Ying-hua. Review of VaR Way Used in Management of Financial Risk[J]. Journal of Social Science of Jiamusi University, 2008, 26(5): 59-61 |
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| Authors: | TIAN Hai-xia ZHANG Xiao-dong LIU Qiang TIAN Ying-hua |
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| Affiliation: | TIAN Hai-xia1,ZHANG Xiao-dong1,LIU Qiang1,TIAN Ying-hua2(1.Economics ang Business Administration of Jiamusi University,Jiamusi 154007,China,2.Xuzhou Hualong Thermal Power co,LTD,Xuzhou 211167,China) |
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| Abstract: | The value of risk can measure potential lost from different risk source and their interaction,which can measure the market risk of complicated portfolio thoroughly.It is widely discussed by the academic world and the managers of financial risk after VaR putting forward.This paper elaborated the background of VaR and the model of VaR.At the same time the existing problem of application of VaR in the management of financial risk and the practical feasibility of the correction model of value of risk(CVaR) are ... |
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| Keywords: | VaR CVaR |
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