今天,我们来讲解CFRM的一个知识点——在险价值-VaR模型(Value at Risk), 一、VaR方法提出的背景 传统的ALM(Asset-Liability Management,资产负债管理)过于依赖报表分析,缺乏时效性;利用方差及β系数来衡量风险太过于抽象,不直观,而且反映的只是市场(或资产)的波动幅度;而CAPM(资本资产定价模型)又无法揉合金融衍生品种。
Simons, K., 1996. Value-at-risk new approaches to risk management. New England Economic Review September/October, 3-13.Simons K. (1996), "Value at Risk - New Approaches to Risk Management," VAR: Under- standing and Applying Value-at-Risk, RISK publications, London....
Value-at-risk indicates the possible maximum loss which will be suffered in a specified period and at a specified confidence level from a fall in the price of a security (or exchange rate), given historic data on the price behaviour of the security (exchange rate) or assessment of likely f...
the output from a VaR computation is not a standard deviation or an overall risk measure but is stated in terms of a probability that the losses will exceed a specified value. inappropriate measure of risk for firms that are focused on compaing investments with very different scales and returns...
value at risk 1 传统的alm(asset-liability management,资产负债管理)过于依赖报表分析,缺乏时效性;利用方差及β系数来衡量风险太过于抽象,不直观,而且反映的只是市场(或资产)的波动幅度;而capm(资本资产定价模型)又无法揉合金融衍生品种。在上述传统的几种方法都无法准确定义和度量金融风险时,g30集团在研究衍生品种的...
定价:USD 85.00 装帧:Hardcover ISBN:9780071464956 豆瓣评分 8.3 29人评价 5星 27.6% 4星 58.6% 3星 10.3% 2星 3.4% 1星 0.0% 评价: 写笔记 写书评 加入购书单 分享到 推荐 内容简介· ··· Since its original publication, Value at Risk has become the industry standard in risk management. Now ...
VaR(Value at Risk)是1993年J.P.Morgon,G30集团在考察 11、衍生产品的基础上提出的一种新的风险测度方法。VaR的基本含义是,风险资产在给定的置信区间和持有期间上,在正常市场条件下的最大期望损失。VaR方法的优点:(1)简洁的含义和直观的价值判断;它使得资产组合风险能够具体化为一个可以与收益相配比的数字,从而...
Value at Risk (VAR)：风险价值评估投资组合的损失高于特定定价的可能性的技巧。对于各个投资领域内的专业人员，包括基金经理、证券分析师、财务总监、投资顾问、投资银行家、交易员等等，CFA非常重要；它直接证明了你的职业素养和能力，被投资业看成一个“黄金标准”,这一资格被认为是投资业界中具有专业...
Value of operational risk management is a frontier of banks risk management, and assessment of value of risk management requires a scientific assessment model. 操作风险管理价值是银行风险管理的一个前沿问题,合理的风险管理价值评估需要通过一个科学的评估模型来实现。 更多例句>> 4) risk value management...
Value at Risk (VaR) is a statistic that is used in risk management to predict the greatest possible losses over a specific time frame. VAR is determined by three variables: period, confidence level, and the size of the possible loss. ...