基于VaR方法的金融风险度量模型及其应用  

A model of measuring financial risks based on VaR method and its application

作　　者：李裕丰[1] 罗丹程[1] 王赫[1] 

机构地区：[1]沈阳工业大学经济学院,沈阳110178

出　　处：《沈阳工业大学学报（社会科学版）》2009年第4期335-339,共5页Journal of Shenyang University of Technology(Social Sciences)

基　　金：辽宁省社会科学基金项目(L07BJY039)

摘　　要：针对金融风险度量问题,对几种典型的VaR方法进行比较说明,总结其各自的优缺点和适用范围,通过对美国次贷危机中各大金融机构VaR风险管理体系实际效果的分析,发现当前普遍应用的VaR模型及其管理体系在极端情况下存在局限性,从而得出VaR方法必须结合对经济金融形势的综合判断才能取得较好效果的结论。Aiming at the measurement of financial risk, the paper compares several VaR methods and summarizes their respective characteristics and application fields. Through illustrating the actual effect of VaR risk management systems of main financial institutions during the subprime mortgage crisis in America, the paper discovers that there are limitations in the currently widely-used VaR model and its management systems in the extreme conditions. The conclusion is that VaR method would not acquire good effects unless it is combined with the overall judgment of economic and financial situation.

关 键 词：次贷危机 金融风险 市场风险 信用风险 风险管理 在险价值 VAR方法 度量模型 

分 类 号：F830.2[经济管理—金融学] F831.59