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Study on VaR and its applications to the financial industry in China (PDF)

《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

Issue:
2005年02期
Page:
37-40,57
Research Field:
交通运输与经济
Publishing date:
2005-06-20

Info

Title:
Study on VaR and its applications to the financial industry in China
Author(s):
GUO Ming-yuan;  ZHANG Shi-ying
School of Management,Tianjin University, Tianjin 300072, China
Keywords:
VaR;  financial risk;  financial industry;  risk measure
PACS:
F830. 2
DOI:
-
Abstract:
As a method for financial risk measurement, VaR(Value at Risk) has been widely accepted by the international financial community. Because of its particular advantage in measuring and regulating risk, VaR has been employed extensively in financial investment, financial risk management, credit risk management and performance evaluation of financial institutions. This paper introduces the fundamental theory of VaR, the features of VaR, some calculating methods of VaR. This paper analyzes the problems existing in the applications of Var in the financial industry of China as well as proposes some resolutions.

References:

[1]　戴国强,徐龙炳.VaR法对中国金融风险管理的借鉴 和运用[J].金融研究,2000,(7):45-51.
[2]　王春峰,万海辉,张　维.金融市场风险测量模型——— VaR[J].系统工程学报,2000,15(1):74-75.
[3]　马超群,李红权,张银旗.风险价值方法在金融风险度 量中的应用[J].预测,2001,20(2):34-37.
[4]　詹原瑞.VaR的计算与应用[J].系统工程理论与实践, 1999,(12):1-7.
[5]　范　英.VaR方法及其在股市风险分析中的应用初探 [J].中国管理科学,2000,(3):26-31.

Memo

Memo:
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Last Update: 2005-06-20