| VAR模型计算方法及应用 |
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| 引用本文： | 庄光明,彭作祥,王庆平. VAR模型计算方法及应用[J]. 重庆理工大学学报(自然科学版), 2008, 22(4): 54-57 |
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| 作者姓名： | 庄光明 彭作祥 王庆平 |
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| 作者单位： | 聊城大学数学科学学院 山东聊城252059(庄光明，王庆平)，西南大学数学与统计学院 重庆400715(彭作祥) |
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| 摘 要： | 阐述了VAR理论的数学定义,归纳了VAR的计算方法,包括计算VAR的关键因素及计算公式,指出了VAR的特点,从风险控制、业绩评估、金融监管3个方面分析了VAR的重要应用,最后介绍了VAR方法的局限性及应注意的问题.
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| 关 键 词： | VAR理论 置信度 分布特征 收益率 金融风险管理 |
Analysis of VAR Theory and Its Application |
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| ZHUANG Guang-ming,PENG Zuo-xiang,WANG Qing-ping. Analysis of VAR Theory and Its Application[J]. Journal of Chongqing University of Technology(Natural Science), 2008, 22(4): 54-57 |
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| Authors: | ZHUANG Guang-ming PENG Zuo-xiang WANG Qing-ping |
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| Abstract: | This paper expounds upon the definition of VAR,summarizes the calculation method of VAR including the two key elements and calculation formula in VAR calculation,points out the characteristics of VAR,and analyzes its applications from risk control,performance evaluation and financial monitoring.Finally,the limitations and issues in VAR method are presented. |
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| Keywords: | Value at Risk Theory confidence level distribution characteristic earning ratio financial risk management |
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