基于VaR的投资业务市场风险评估  

Risk Assessment of Investment Market Based on VaR

作　　者：王玉洁[1] 吴敏[1] 彭勇杰[1] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2009年第6期1015-1018,共4页Journal of Wuhan University of Technology：Information & Management Engineering

摘　　要：针对投资业务市场中的风险评估问题,系统介绍了VaR的原理和计算方法,并通过实例介绍了其在风险评估领域中的应用。通过计算VaR及相关的分析,得出了投资业务市场的风险程度及来源。与传统风险评估方法相比,应用VaR度量的风险程度更明确,来源更清晰,对风险的变化预测更准确,对于加强公司的风险控制,促进公司相关业务的健康发展,有重要的应用价值。To solve the problems in investment market risk assessment, the principles of the VaR theory and algorithm were intro- duced ,and an example was given to demonstrate the application of VaR in the risk assessment field. Level and source of risk in investment market can be obtained easily by computing and analyzing the VaR value meanwhile. Compared with traditional risk assessment method, VaR algorithm can provide a clearer result, and predict the risk fluctuation trends more accurately. It is very useful to strengthen risk control in corporation and it is beneficial to promote the healthy development of corporation - related bus- inesses as well.

关 键 词：VAR 方差-协方差 风险评估 

分 类 号：F270[经济管理—企业管理]