市场风险值VaR的算法与应用  

VaR Computation and Application in Market Risk

作　　者：陈志宏[1] 阎春宁[1] 余鹏[1] 

机构地区：[1]上海大学管理科学与工程系,上海201800

出　　处：《应用数学与计算数学学报》2002年第2期1-6,共6页Communication on Applied Mathematics and Computation

基　　金：国家自然科学基金(项目编号70171059)

摘　　要：进行金融风险管理时可以将风险划分为四类,即信用风险、经营风险、流动性风险和市场风险。其中市场风险是指金融市场价格(包括股票价格、利率、汇率和大宗可交易商品的价格)波动而引起的未来收益的不确定性。市场风险值VaR(Value at Risk)就是用来评价给定资产所面临的市场风险大小。本文介绍了VaR的定义、相关的计算方法和在证券投资决策中的应用实例。With respect to financial risk management, the general approaches to risk have fallen into four classes called credit risk, operational risk, liquidity risk and market risk. Market risk is the uncertainty of future proceeds, which is resulted from price fluctuations in financial market. VaR can be used to evaluate how much market risk the given assets take. In this paper, we introduce the definition and relevant computation methods of VaR as well as VaR application example in securities investment decision.

关 键 词：市场风险值 VAR 正态分布算法 历史模拟算法 GARCH模型算法 置信度 收益率 

分 类 号：O213[理学—概率论与数理统计]