第1页共21页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第1页共21页目录一、VaR方法的产生............................................................................................................3二、VaR的定义.......................................................................................................................4三、VaR的计算.......................................................................................................................5（一）ω和R的概率分布函数未知............................................................................6（二）ω和R服从正态分布........................................................................................8(三)ω和R服从非正态的概率分布..........................................................................9四、风险价值的度量模型..............................................................................................11(一)德尔塔—正态评价法............................................................................................11(二)历史模拟法(HistoricalSimulationapproaches，缩写为HS)............11(三)蒙特卡罗模拟法(Monte-CarloSimulation，简称MS)............................12五、VaR的应用.....................................................................................................................15(一)用于金融监管..........................................................................................................15(二)用于风险控制..........................................................................................................15(三)用于业绩评估..........................................................................................................16六、实证分析........................................................................................................................16（一）蒙特卡罗模拟法的基本原理..............................................................................17（二）蒙特卡罗模拟法的应用.......................................................................................17(三)一般的蒙特卡罗模拟法计算VaR.........................................................................18（四）模型验证..................................................................................................................20（五）实例计算..................................................................................................................21七、VaR的优缺点...............................................................................................................22(一)优点............................................................................................................................22(二)缺点............................................................................................................................23金融风险管理的VaR方法及其应用摘要：随着金融业的不断发展，金融风险管理愈发显得重要，运用何种方法去做科学的风险测度也逐渐成为热门领域，本文主要介绍最近受到金融业广泛认可的风险定量分析方法VaR（valueatrisk）。文章包括对VaR各个方面的介绍，希望能对这种重要的金融统计方法做个详细的介绍。由于VaR方法是统计学在金融领域的具体应用，所以本文也算是对金融与统计之间的互相渗透做某一方面的介绍。关键词：VaR金融风险管理蒙特卡罗模拟Abstract:Withthecontinuousdevelopmentofthefinancialindustry,financialriskmanagementisincreasinglyimportant,t...
