基于VaR的我国农村金融机构市场风险的度量与实证被引量：4

The Measurement and Empirical Analysis About Market Risk of Rural Financial Institutions of Our Country Based on VaR

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摘要金融机构市场风险是近几年风险管理的重点内容之一,VaR是度量风险值最有效的方法。本文构建基于VaR的度量模型对我国农村金融机构2003—2009年的市场风险损失量的月度数据进行实证分析,计算出99%置信区间的VaR值,为农村金融机构的市场风险管理奠定基础提供参考。 Market risk is one of the key elements of rural financial institutions of our country risk management in recent years and VaR is the most effective way to measure risk value. This paper builds a model based on the VaR to measure the amonn! of the loss of market risk of China＇ s rural financial institutions. It uses the sample data,monthly data, from 2003 to 2009 to analysis and calculate the VaR value at 99% significant level. Meanwhile it lays the foundation for market risk management for rural financial institutions.

作者温红梅韩晓翠

机构地区哈尔滨商业大学金融学院

出处《哈尔滨商业大学学报（社会科学版）》 2011年第2期3-9,共7页 Journal of Harbin University of Commerce:Social Science Edition

基金 2009年黑龙江省自然科学基金的阶段性成果(G200906) 2008年黑龙江省社科基金项目(08C003) 黑龙江省普通高等学校新世纪优秀人才培养计划项目(1154-NCET-005) 2009年研究生创新科研资金项目(YJSCX2009-118HSD)

关键词 VAR 金融机构市场风险 VaR financial institutions market risk

分类号 F832.35 [经济管理—金融学]

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