VaR Model and Application to Securities Investment Management
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F830.91

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    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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郭晓亭 蒲勇健 杨秀苔. VaR模型及其在证券投资管理中的应用[J].重庆大学学报,2006,29(3):152~155

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  • Received:October 25,2005
  • Revised:October 25,2005
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