风险价值度VAR及其应用

发布时间：2018-03-18 14:44

本文选题：VAR　切入点：波动率σ　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：风险度量学中的风险价值度一般用VAR来衡量,VAR指的是某一项金融资产在未来一段时间内的可控的最大损失,数学上表述为就是在未来的一段时间中,能够在一定的置信度内使得金融资产的损失控制在某个极值内。在VAR值的确定中,最关键的就是对于金融资产的波动率以及概率分布的估计。虽然有很多的关于金融风险的度量值,但是只有VAR模型能够为金融机构的资产组合提供一个单一的风险度量,能够反映出金融机构的整体风险,VAR已经被银行,基金,证券等大部分金融机构采用,广泛的用来计算包括市场风险,信用风险以及操作风险。本文主要是介绍了风险价值度VAR的背景定义,估值确定,包括历史模拟和模型构建俩种推算VAR的方法。并且对波动率和概率分布的情况做出分析。在此基础上详细介绍其在金融系统,以及投资组合中的应用。
[Abstract]:In risk measurement, the value of risk is generally measured by VAR, which refers to the maximum loss of a financial asset within a certain period of time, which is mathematically expressed as a period of time in the future. The loss of financial assets can be controlled within a certain degree of confidence. In the determination of VAR value, The most important thing is to estimate the volatility and probability distribution of financial assets. Although there are many measures of financial risk, only the VAR model can provide a single risk measurement for the portfolio of financial institutions. VAR, which can reflect the overall risk of financial institutions, has been used by banks, funds, securities and other financial institutions. It is widely used to calculate market risk, credit risk and operational risk. This paper mainly introduces the background definition, valuation determination of risk value degree (VAR). This paper includes two methods of calculating VAR by historical simulation and model construction, and analyzes the volatility and probability distribution. On this basis, it introduces its application in financial system and portfolio in detail.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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