方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| VaR（风险价值）× | 蒙特卡洛模拟× | |
|---|---|---|
| 领域≠ | 金融学 | 决策 |
| 方法族≠ | Regression model | MCDM |
| 起源年份≠ | 2007 | 1949 |
| 提出者≠ | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan | Metropolis, N., Ulam, S. |
| 类型≠ | Financial risk measure | Robustness wrapper — Monte Carlo uncertainty propagation |
| 开创性文献≠ | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 | Metropolis, N., Ulam, S. (1949). The Monte Carlo method. Journal of the American Statistical Association DOI ↗ |
| 别名≠ | VaR, value-at-risk, delta-normal VaR, historical simulation VaR | — |
| 相关≠ | 5 | 0 |
| 摘要≠ | Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework. | MONTE-CARLO-SIMULATION (Monte Carlo Simulation — Stochastic uncertainty propagation through MCDM model) is a ranking multi-criteria decision-making (MCDM) method introduced by Metropolis, N., Ulam, S. in 1949. It turns a decision matrix of alternatives scored on multiple criteria into a structured, reproducible result. |
| ScholarGate数据集 ↗ |
|
|