摘要
开放式基金的迅猛发展需要对其风险进行有效的管理。VaR模型是开放式基金风险管理的有效工具。说明VaR的定义,阐明VaR的计算原理,讨论VaR模型的3种计算方法及其优缺点和适用范围,最后探讨VaR模型在开放式基金风险管理中的应用。
With the fast development of open-ended fund, its risk needs to be managed effectively. VaR model is an effective tool in risk management of open-ended fund. This article explains the definition of VaR model, illuminates calculation principle of VaR and discusses three computation methods of VaR model： Variance-covari- ance, Historical Simulation and Monte Carlo Simulation. Every computation method of VaR model has its advantages and disadvantages and application scope, so its selection depends on specific situation. This article finally explores the application of VaR model in risk management of open-ended fund.
出处
《黑龙江工程学院学报》
CAS
2007年第4期67-70,共4页
Journal of Heilongjiang Institute of Technology
基金
黑龙江省教育厅人文社会科学研究资助项目(11512207)
