| VaR Model and Application to Securities Investment Management |
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| 作者姓名： | GUO Xiao-tin PU Yong-jian YANG Xiu-tai |
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| 摘 要： | VaR model is one of methods to measure and control market risk.This paper analyzes VaR model principle and its main factors.According to function relation,the relationship between the portfolio value and its market risk factors are sorted in two kinds: linear and nonlinear.The method of calculating the VaR is put forward.Finally,the article analyzes the application of VaR model to portfolio,risk control,information disclosure and financial supervison.
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| 关 键 词： | VaR model securities investment application analysis |
| 收稿时间： | 2005/10/25 0:00:00 |
| 修稿时间： | 2005/10/25 0:00:00 |
VaR Model and Application to Securities Investment Management |
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| GUO Xiao-tin,PU Yong-jian,YANG Xiu-tai.VaR Model and Application to Securities Investment Management[J].Storage & Process,2006(3):152-155. |
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| Authors: | GUO Xiao-tin PU Yong-jian YANG Xiu-tai |
| |
| Abstract: | VaR model is one of methods to measure and control market risk.This paper analyzes VaR model principle and its main factors.According to function relation,the relationship between the portfolio value and its market risk factors are sorted in two kinds: linear and nonlinear.The method of calculating the VaR is put forward.Finally,the article analyzes the application of VaR model to portfolio,risk control,information disclosure and financial supervison. |
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| Keywords: | VaR model securities investment application analysis |
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