本文選題：風險價值 + VaR�。� 參考：《吉林大學》2014年碩士論文

【摘要】：伴隨著經(jīng)濟全球化,市場投資的自由化,20世紀末期國際各金融企業(yè)發(fā)生了一系列的經(jīng)濟危機,金融危機帶來大部分企業(yè)的破產(chǎn)和數(shù)十億的經(jīng)濟損失,金融市場存在的風險日益膨脹并越來越受到人們的重視在這種情況下,風險價值憑借其用途廣泛、容易操作的顯著特點,成為了計量風險價值的主流方法. 第一,介紹了風險價值VaR的三種基本方法,參數(shù)法、蒙特卡羅模擬法和歷史模擬法,總結(jié)歸納了它們的基本思想、適用范圍及優(yōu)缺點. 第二,提出了計算風險價值VaR的樹形算法,根據(jù)組合數(shù)的奇偶性和權(quán)數(shù)的正負性分了四種情形,并對每種情形給出實例進行驗證并畫圖,討論其可行性. 本篇文章所提出的樹形算法是對已有的同類算法的改進和補充,使其使用范圍更廣泛,減少計算量和過多的參數(shù)估計.
[Abstract]:With the economic globalization and the liberalization of the market investment, a series of economic crises have taken place in the international financial enterprises in the late twentieth Century. The financial crisis has brought the bankruptcy of most enterprises and billions of economic losses. The risk of the financial market is growing increasingly and being paid more and more attention to the value of the risk. Its widely used and easy operation characteristics become the mainstream method of measuring value at risk.
First, the three basic methods of risk value VaR, the parameter method, the Monte Carlo simulation method and the historical simulation method, are introduced. The basic ideas, the scope of application and the advantages and disadvantages of these basic methods are summarized.
Second, a tree algorithm for calculating the value of VaR is proposed. According to the parity of the number of combinations and the positive and negative weight of weights, four cases are divided, and an example is given to verify and draw a picture to discuss the feasibility of each case.
The tree algorithm proposed in this article is an improvement and supplement to the existing similar algorithms, making it more widely used, reducing computation and overestimating parameters.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.59;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 孫富;花秋玲;;投資組合VaR的樹形算法[J];長春理工大學學報(自然科學版);2007年02期

2 郭曉亭;蒲勇健;楊秀苔;;VaR模型及其在證券投資管理中的應(yīng)用[J];重慶大學學報(自然科學版);2006年03期

3 劉建德;經(jīng)濟資本——風險和價值管理的核心[J];國際金融研究;2004年08期

4 周孝華;張燕;;一種新的風險價值(VaR)計算方法及其應(yīng)用研究[J];管理學報;2008年06期

5 姚奎棟,孫軼s，

本文編號：1985766