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本文介绍了VAR风险管理技术以及三种测定方法历史模拟法、方差—协方差分析方法(Var—Cov),蒙特卡拉罗模拟方法(Monte—Carlo)。同时对对VAR方法的特点和应用进行了说明。
This paper introduces VAR risk management techniques as well as historical simulation methods of three measurement methods, Var-Cov analysis and Monte-Carlo simulation methods. At the same time, the characteristics and application of VAR method are described.