Regression model
VaR（风险价值）
VaR（风险价值）是一种金融风险度量，用于估计在给定的置信水平下，一个头寸或投资组合在固定持有期内可能遭受的最大损失。它是风险管理和监管资本计算的标准基准，其发展得益于Jorion (2007)的教科书式阐述和巴塞尔市场风险框架。
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来源
- Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956
- Basel Committee on Banking Supervision (2019). Minimum Capital Requirements for Market Risk. Bank for International Settlements. link ↗
如何引用本页
ScholarGate. (2026, June 1). Value at Risk (Historical, Parametric, Monte Carlo). ScholarGate. https://scholargate.app/zh/finance/value-at-risk
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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