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近年来,国际金融市场所面临的主要风险已从信用风险转向了市场风险。对市场风险的正确度量构成了市场风险管理的基础。本文主要介绍广泛应用于度量市场风险的VaR(Value-at-Risk)方法,讨论计算VaR的参数法和非参数法及其计算步骤,探讨VaR的具体应用。
In recent years, the major risks facing international financial markets have shifted from credit risk to market risk. The correct measurement of market risk constitutes the foundation of market risk management. This article mainly introduces the VaR (Value-at-Risk) method which is widely used to measure the market risk. It discusses the parametric method and non-parametric method of calculating VaR and its calculation steps, and discusses the concrete application of VaR.