摘要
VaR方法作为金融风险的计量工具已得到国际金融界的广泛认可。由于VaR方法在金融风险的量化和动态监管方面具有独特优势,目前已经在金融投资、金融监管、信用风险管理和金融机构业绩评估等方面广泛应用。介绍了VaR方法的原理、特点和计算方法。分析研究了VaR方法在中国金融领域应用中存在的问题,提出了相应的解决方案。
As a method for financial risk measurement, VaR(Value at Risk) has been widely accepted by the international financial community. Because of its particular advantage in measuring and regulating risk, VaR has been employed extensively in financial investment, financial risk management, credit risk management and performance evaluation of financial institutions. This paper introduces the fundamental theory of VaR, the features of VaR, some calculating methods of VaR. This paper analyzes the problems existing in the applications of Var in the financial industry of China as well as proposes some resolutions.
出处
《长安大学学报（社会科学版）》
2005年第2期37-40,57,共5页
Journal of Chang'an University(Social Science Edition)
基金
国家自然科学基金资助项目(NO:70471050)的部分研究成果。
