뗚26뻭ꆡ뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡ커몺샭릤듳톧톧놨ꆤ탅쾢폫맜샭릤돌냦ꆡꆡꆡꆡꆡꆡꆡꆡ쓪4퓂ꆡꆡꆡꆡJOURNALOFWUT(INFORMATION&MANAGEMENTENGINEERING)ꆡꆡꆡꆡ컄헂뇠뫅:1007-144X(2004)02-0188-04믹폚럧쿕볛횵뗄춶ퟩ뫏럧쿕뛈솿퇐뺿뫺ꆡ,돂뻽쓾(뮪훐뿆벼듳톧맜샭톧풺,뫾놱커몺430074)햪ꆡ튪:럧쿕볛횵(VaR)맜샭벼쫵쫇튻훖폃살움맀뫍볆솿뷰죚쫐뎡럧쿕뗄춳볆톧쒣탍벰랽램ꆣ듓샭싛짏볲튪뗘닻쏷쇋VaR럧쿕맜샭벼쫵뗄풭샭,첽쳖쇋웤퓚횤좯춶ퟩ뫏럧쿕뛈솿훐뗄펦폃ꆣ뷩짜쇋VaR럧쿕맜샭벼쫵놻뷰죚뷧맣랺펦폃뗄폅뗣,춬쪱튲횸돶쇋ퟷ캪튻훖럧쿕볆솿랽램쯹듦퓚뗄좱쿝ꆣ맘볼듊:VaR(럧쿕볛횵);춶ퟩ뫏;럧쿕뛈솿훐춼램럖샠뫅:F25317ꆡꆡꆡꆡ컄쿗뇪쪶싫:A1995쓪6퓂,쏀솪뒢쳡돶쿠쯆뗄풤낸;춬쓪1ꆡ틽ꆡ퇔12퓂,쏀맺횤좯붻틗캯풱믡붫VaR랽램쇐캪3ퟔ듓십뿋캬뒴솢쿖듺뺲첬춶ퟩ뫏샭싛틔훖쫐뎡럧쿕엻슶랽램횮튻ꆣ1996쓪8퓂,쏀맺틸살,톰헒룼뫏샭뗄럧쿕뛈솿랽램돉캪뷰죚릤돌뗄탐볠맜캯풱믡닉폃1988쓪냍죻뛻킭뚨훐쳡돶뗄죈뗣횮튻ꆣ20쫀볍80쓪듺쒩웚,VaR(Valueat쫐뎡럧쿕탞헽낸(MAR)ꆣ쫐뎡럧쿕탞헽낸폚Risk)쒣탍쫗쿈놻튻킩듳탍뷰죚벯췅폃폚춶ퟩ1998쓪1퓂짺킧ꆣ룃탞헽낸맦뚨짌튵틸탐뷸탐뫏뗄럧쿕맜샭,20쫀볍90쓪듺뾪쪼,ퟷ캪닺럧듳ퟚ붻틗쪱,웤놸폃놾튪뎬맽웤쏦쇙뗄쫐뎡럧쿕뛈솿뗄릤뻟놻맣랺뗘펦폃폚믹뷰맜샭릫쮾ꆢ짌쿕[2]ꆣ뛸쫐뎡럧쿕놾놸폃뛮쫇룹뻝VaR뗄랽튵틸탐뫍횤좯릫쮾ꆣ폈웤캪뷰죚퇜짺릤뻟뗄붻틗램맀볆돶살뗄ꆣ20쫀볍70쓪듺돵쫀뷧쪯폍캣믺헟쯹욫낮,풭틲퓚폚웚믵웚좨붻틗춨뎣틔놣횤뷰퓬돉횤좯쫐뎡듳럹늨뚯,컷랽맺볒뗄춶헟뾪쪼뗄랽쪽뷸탐붻틗,헢훖ꆰ룜룋ꆱ뗄킧펦떼훂벫킡룅훘쫓럧쿕뗄퇐뺿;샏뮢믹뷰뫍솿ퟓ믹뷰뗈듳탍쳗싊돶쿖뗄쟩뿶뿉쓜믡듸살춻죧웤살뗄뻞듳쯰쪧,샻믹뷰뷼쓪뗄쎻실뷸튻늽뇭쏷럧쿕맜샭뗄훘튪뗤탍뗄낸샽횮튻쫇펢맺냍쇖틸탐떹뇕ꆣ듳탍믺릹탔ꆣ쯦ퟅ컒맺볓죫WTO,틔벰냩쯦뾪럅쪽믹뷰ꆢ춶헟붻틗뛮췹췹뫜듳,춶맜샭죋쾣췻횪뗀ퟔ쳘뇰쫇막횸웚믵뗄췆돶,럧쿕뿘훆뫍맜샭뇘붫돉벺헽퓚돐떣뛠듳뗄쫐뎡럧쿕,믲헟쮵틔쒳룅싊ퟮ캪뷰죚튵룼훘튪뗄뿎쳢ꆣ뛠쯰쪧뛠짙,듓뛸뷏뺫좷뗘쏨쫶웤쯹쏦쇙뗄럧쿕ꆣV2ꆡ럧쿕볛횵뗄룅쓮뫍릫쪽aR뗄랽램쳡릩쇋탨튪뗄럧쿕맜샭릤뻟ꆣ1994쓪10퓂,JP쒦룹캪맀쯣VaR붨솢쇋ꆡVaR뗄믹놾풭샭럧쿕뻘헳,듓뛸뷸튻늽듙뷸쇋VaR뗄샭싛뫍랽램VaR벼쫵쫇틔JP쒦룹틸탐캪듺뇭뗄듳탍뷰뗄웕벰ꆣ쒿잰탭뛠듳탍럇뷰죚춶믺릹튲뾪쪼닉죚믺릹뾪랢믹폚럧쿕볛횵풭샭뗄럧쿕맜샭벼쫵ꆣ폃룃랽램뿘훆럧쿕ꆣ1995쓪,Wharton/CIBC쯼쫇튻훖춶ퟩ뫏잱퓚쯰쪧뗄ퟜ뷡탔뗄춳볆닢뛈WoodGundy뗄뗷닩쿔쪾,29%뗄쏀맺럇뷰죚벯랽램,늢캪맺볊쟥쯣틸탐쯹췆탐ꆣ쯼쪵볊짏쫇튪췅닉폃VaR움맀퇜짺릤뻟뗄붻틗ꆣꆰ믺릹춶믘듰퓚룸뚨룅싊쟩뿶쿂,틸탐춶ퟩ뫏볛횵퓚쿂헟ꆱ뗄뗷닩쿔쪾32%뗄벯췅뫍60%뗄퇸샏믹뷰맜튻뷗뛎ퟮ뛠뿉쓜쯰쪧뛠짙ꆣVaR랽램쫇믺릹춶샭릫쮾닉폃VaR뗄랽램뿘훆럧쿕[1]ꆣ폫듋춬쪱,헟뷸탐춶뻶닟뗄폐샻럖컶릤뻟ꆣ믺릹춶헟볠맜헟튲뫁늻샽췢뗘뾪쪼훘쫓헢훖럧쿕맜샭랽펦폃VaR랽램,퓚춶맽돌훐뛔춶뛔쿳뷸탐럧램ꆣ1995쓪뒺벾,냍죻뛻틸탐볠맜캯풱믡ힼ탭룶쿕닢솿,붫볆쯣돶뗄럧쿕듳킡폫ퟔ짭뛔럧쿕뗄돐뇰짌튵틸탐춳튻닉폃룃캯풱믡쳡릩뗄닎쫽,볆쯣쫜쓜솦볓틔뇈뷏,틔듋살뻶뚨춶뛮뫍춶닟싔,VaRꆣ틔복짙춶뗄쎤쒿탔,뺡뿉쓜복쟡틲춶뻶닟쪧쫕룥죕웚:2004-02-16.ퟷ헟볲뷩:뫺ꆡ(1980-)얮,붭컷쓏닽죋,뮪훐뿆벼듳톧맜샭톧풺쮶쪿퇐뺿짺.' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뫺ꆡ뗈퇐뺿ꆡꆡꆡꆡꆡꆡꆡꆡ18ꆡ926뻭ꆡ뗚2웚ꆡ:믹폚럧쿕볛횵뗄춶ퟩ뫏럧쿕뛈솿ꆡ컳쯹듸살뗄쯰쪧ꆣ쒿잰뎣폃뛈솿VaR랽램훷튪튻쓪)R뗄욽뻹쫕틦싊;ꚤt캪돖폐춶ퟩ뫏뗄쪱폐,틔뻖늿맀횵캪믹뒡뗄뗂뛻쯾ꆪꆪꆪ헽첬럖늼램,볤뎤뛈ꆣ죴W0퓚짨뚨훃탅뛈ꛁ쿂뗄ퟮ뗍믘놨싊뮹폐뗄쫇틔췪좫맀횵캪믹뒡뗄샺쪷쒣쓢램ꆢ펦솦캪R3,퓲W0퓚훃탅뛈ꛁ쿂뗄ퟮ뗍웚쒩볛횵캪닢쫔램뫍뷡릹쏉쳘ꆤ뾨싞램뗈ꆣVaR랽램돽쇋놻W3=W0(1+R3),퓚듋쪱뷰죚믺릹맣랺퓋폃췢,튲뾪쪼놻튻킩럇뷰죚믺릹1-ꛁ=P(R<R3)(1)닉폃,샽죧컷쏅ퟓ릫쮾뫍IBM릫쮾뗈ꆣW0뗄웚쒩볛횵뻹횵복좥ퟮ뗍웚쒩볛횵,뻍쫇룃VaR럧쿕맜샭벼쫵쫇뛔쫐뎡럧쿕뗄ퟜ뷡탔춶ퟩ뫏뗄잱퓚ퟮ듳쯰쪧,벴VaR,뇭쪾캪움맀ꆣ쯼뾼싇쇋뷰죚닺뛔쒳훖럧쿕살풴(샽죧V=E(W)-W3(2)샻싊ꆢ믣싊ꆢ짌욷볛룱뫍막욱볛횵뗈믹뒡탔뷰죚뇤E(W)=E[W솿0(1+R)]=E(W0+W0R))뗄뎨뿚뫍쫐뎡쓦쿲뇤뮯뗄뿉쓜탔ꆣVaR쒣탍=W볓죫듳솿뗄뿉쓜펰쿬릫쮾붻틗ퟩ뫏릫퓊볛횵뗄틲0ꛌꚤt+W0쯘W3=W0(1+R),뇈죧횤좯뫍짌욷볛룱ꆢ샻싊럧쿕벰틾몬쿟탔늨뚯싊럧쿕놩슶춷듧ꆣ뷨훺룃쒣탍V=W0(ꛌꚤt-R3)(3),뛔샺쪷럧쿕쫽뻝쒣쓢퓋쯣ꆡꆡ평듋뿉횪,죧맻쓜췆쯣돶쒳훃탅쮮욽ꛁ쿂뗄,뿉쟳돶퓚늻춬뗄훃탅뛈(뇈죧99%)쿂뗄R3횵,벴뿉쟳돶쒳춶ퟩ뫏퓚룃훃탅뛈쿂뗄VaR횵ꆣ샽죧VaR횵ꆣ,쒳튻춶믹뷰맜샭릫쮾돖폐뗄횤좯ퟩ뫏퓚훃탅뛈캪95%ꆢ횤좯쫐뎡쳵볾쿂뗄VaR횵캪3ꆡVaR퓚춶ퟩ뫏럧쿕뛈솿훐뗄펦폃800췲풪뗄룅싊캪5%ꆣ톡뚨뗄벸싊(죧5%)랴펳쇋뷰죚닺맜샭헟뗄럧쿕퇡뛱돌뛈튻냣살붲,VaR뗄볆쯣맽돌탨튪틔쿂벸룶늽,뿉룹뻝늻춬뗄춶헟뛔럧쿕뗄욫뫃돌뛈뫍돐쫜쓜솦살좷훨:ꋙ톡퓱믹놾닎쫽(쪱볤쮮욽ꆢ훃탅쮮욽ꆢ닢솿뗄뚨ꆣ쪱볤);ꋚ톡퓱쿠맘뗄쫐뎡틲ퟓ(죧샻싊ꆢ믣싊ꆢ막퓚뷰죚춶훐욱횸쫽뗈);ꋛ럧쿕펳짤,벴붫쪵볊닺ퟩ뫏늿캻,룟쫕틦ퟜ쫇냩쯦ퟅ룟럧쿕,붻틗풱뿉쓜늻쾧쎰뻞듳뗄럧쿕좥ힷ훰뻞뛮샻죳ꆣ릫뗄럧쿕럖뷢캪튻킩뇪ힼ늿볾(죧뷰죚릤뻟ꆢ웚쿞쮾뒦폚컈붡뺭펪뗄탨튪뗈)뗄럧쿕;ꋜVaR볆쯣ꆣ,뇘탫뛔붻틗풱뿉쓜뗄맽뛈춶믺탐캪뷸탐쿞훆평폚VaR쪵쪩돉릦뗄솽룶뇘튪뗄쳵볾쫇웤,쯹틔폐뇘튪틽죫뾼싇럧쿕틲쯘뗄튵벨움볛횸뇪ꆣ샻폃뷡맻펦폃뗄볲떥뫍컈뚨,틲뛸뛔VaR뗄볆쯣,맺VaR랽램뷸탐럧쿕뿘훆췢뗄퇐뺿헟쳡돶쇋뛠훖볆쯣쒣탍틔룄뷸웤볆쯣뷡,뿉틔쪹쎿룶붻틗풱믲붻틗떥캻뚼쓜좷쟐뗘쏷쇋쯻쏇퓚뷸탐폐뛠듳럧쿕뗄뷰죚붻틗맻뗄뺫좷탔뫍쳡룟웤볆쯣킧싊ꆣ룅삨웰살붲,헢,늢뿉틔캪쎿룶붻틗풱믲붻틗떥캻짨훃킩VaR뗄볆솿랽램믹놾뿉틔럖캪솽샠:닎솿탍뫍VaR쿞뛮,틔럀횹맽뛈춶믺탐캪뗄돶쿖ꆣ죧맻횴탐퇏룱뗄럇닎솿탍ꆣ닎솿탍뗄랽램냼삨랽닮-킭랽닮랽램VaR맜샭뫍쒳킩럖컶;럇닎솿쒣탍냼삨샺쪷쒣쓢램뫍,퓲튻킩뷰죚붻틗뗄훘듳뿷쯰튲탭뻍뿉틔췪좫뇜쏢MonteCarlo럂헦램뗈ꆣ[3]ꆣ캪뷸튻늽쮵쏷VaR뗄볆쯣,쿂쏦룸돶튻룶믹ꆡVaR뗄볆쯣릫쪽뷏캪잡떱뗄뚨틥펦떱뇭쫶캪폚볲떥뷰죚닺욷뗄닺ퟩ뫏뗄VaR볆쯣샽ퟓꆣ,퓚헽뎣뗄쫐뎡쳵볾쿂뫍튻뚨뗄훃탅쮮욽짏볙짨쏀맺춶헟돖폐140000000십뿋뗄뿕춷뗂,볆쯣돶룸뚨쪱볤뛎쓚풤웚랢짺뗄ퟮ뮵쟩뿶뗄쯰쪧ꆣ헢쫇튻훖쏦쿲캴맺햮좯,죧맻햮좯뗄늨럹쫇%,십뿋뛔쏀풪살뗄럧쿕뗄뚨솿럖컶벼쫵뗄믣싊늨럹쫇%,쿠맘쾵쫽쫇,쓇쎴[4]ꆣVaR램뷨훺폚쒳튻뷰죚릤뻟믲춶ퟩ뫏쫐뎡볛횵뇤뮯뗄룅싊살뇭룃춶헟뗄럧쿕뻍쫇,쪾춶뗄럧쿕쫴탔샻싊럧쿕:DEM140millionꇁ%/=,벴폃쏜뛈몯쫽믲샛믽룅싊살뇭쪾럧쿕ꆣUSD999000VaR램뿉틔뗃돶뛠캬럧쿕뗄튻룶튻캬뷼쯆횵믣싊럧쿕:DEM140millionꇁ%/=,틲듋쯼뿉닢뛈늻춬쫐뎡뗄늻춬럧쿕늢붫웤폃튻룶좷쟐쫽횵뇭쪾돶살ꆣUSD932000짨틲듋,춶헟룃닺ퟩ뫏뗄VaR캪W(t)캪뇪뗄닺t쪱뿌뗄볛횵;W0캪퓚쿠맘웚쿞뾪쪼쪱뇪뗄닺뗄볛횵VaRUSD=VaR21+VaR22+2ꛑ12VaR1VaR2;R캪돖폐웚쓚춶ퟩ뫏뗄쫕틦싊;ꛌ캪떥캻쪱볤쓚(춨뎣캪=[(9990002)+(9320002)+2ꇁ()ꇁ999000ꇁ9320002]' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ19ꆡ0ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ커몺샭릤듳톧톧놨ꆤ탅쾢폫맜샭릤돌냦ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2004쓪4퓂ꆡꆡꆡ=볆쯣평뛠룶뷰죚릤뻟ퟩ돉뗄춶ퟩ뫏럧쿕,헢쫇ꆡꆡ캪쇋쮵쏷뗄탨튪,짏쏦룸돶뗄볆쯣쫇쪮럖볲뒫춳뷰죚럧쿕맜샭늻쓜ퟶ떽뗄ꆣ떥뗄,쪵볊짏뗄쟩뿶풶럇죧듋ꆣ쫗쿈,늻춬닺뗄(3)뿉틔쫂쿈볆쯣럧쿕,늻쿱틔췹럧쿕맜샭뗄VaR횮볤듦퓚ퟅ뢴퓓뗄쿠맘탔ꆣ죧맻닺ퟩ뫏랽램뚼쫇퓚쫂뫳뫢솿럧쿕듳킡ꆣ훐냼몬쇋N훖닺,쓇쎴N훖닺횮볤뗄쿠맘(4)VaR튲뿉틔냯훺웳튵뷢뻶풴엤훃뗄컊쾵쫽뻍탨튪폃뻘헳쳢ꆣ퓚뛔웳튵뗄춶믲춶ퟩ뫏뗄ퟜ쳥럧쿕움맀1Lꛑ1N뗄믹뒡짏뷸탐럖뷢,뻶닟헟뿉뻝듋뷸탐에뛏,짨훃[C]=M1M뇭쪾,뛸닺ퟩ뫏뗄쒳샠춶뗄뷰짏쿂쿞ꆣꛑN(1L15)VaR튲뿉틔냯훺맜샭헟뛔쿂쫴믹폚럧쿕VaR볆쯣릫쪽튲뻍뇤돉VaR=(VCVT1/2)=뗷헻뗄춶쫕틦뷸탐뾼뫋,뇜쏢틀뾿퓶볓럧쿕살쳡룟믱샻쮮욽뗄춶탐캪ꆣVaR뮹뿉틔냯훺ퟩ(ꇆNꇆNVaRꛑiijVaR1/2)j;웤훐V=[VaR1,L,뫏뗄맜샭헟쇋뷢릹돉ퟩ뫏뗄쎿튻쿮닺벰웤쿠펦j=1i=1VaRN],VaRi캪뗚i룶늿캻뗄볛횵폫웤볛횵뇤뚯뗷헻ꆢ뇤뮯뛔헻쳥럧쿕뗄펰쿬,죧ퟩ뫏훐쒳튻쿮싊뗄돋믽,ꛑ닺뛔폚ퟩ뫏VaR뗄뇟볊릱쿗쫇뛠짙,룃닺퓚헻ij쫇늿캻i뗄VaR폫늿캻j뗄VaR횮볤뗄쿠맘쾵쫽ꆣ평폚룷닺늿캻횮볤뗄쿠맘쾵룶ퟩ뫏VaR훐쯹햼뗄뇈샽쫇뛠짙뗈,뇟볊VaR쫽뗄좷뚨뇈뷏삧쓑,헢쪱VaR뗄볆쯣튲뻍뇤뗃뢴폫돉럖VaR벴뿉캪맜샭헟쳡릩짏쫶탅쾢ꆣ퓓뛠쇋[5]ꆣ쇭췢,퓚볆쯣떥룶닺쫕틦뗄뇤뮯VaR튲늢럇췲펦솼튩,뺡맜쯼폫틔잰뗄쫐뎡쪱럧쿕닢쯣랽램쿠뇈쫇룶뻞듳뗄뷸늽,떫튲늻쓜죏,쫕틦뗄풤웚뇤뚯싊튲뇈뷏쓑폚풤닢ꆣ춨뎣뗄ퟶ램쫇볙짨쫕틦싊뗄뇤뚯쫇헽첬럖늼뗄ꆣ틲뛸웤캪쫇뛈솿뫍뿘훆쫐뎡럧쿕뗄ퟮ훕쫖뛎ꆣ쯼뷶쫇뛈룅싊럖늼뻍쫇솿쫐뎡뗄춳볆톧랽램,쫇믹폚춳볆볙짨뫍춳볆랽,1-c=ꇒW3-ꇞf(w)dw,웤훐램싛믹뒡짏뗄ꆣ폐쪱죏캪VaR늻럻뫏쪵볊,헢쫇f(w)뇭쪾룅싊쏜뛈몯쫽,뻍쫇짨뚨뗄럧쿕뷧쿞ꆣ틲캪쯼볙뚨쫐뎡틲쯘쫕틦싊튪럾듓헽첬럖늼,뛸죧맻좷탅훃탅뛈캪1-c=95%,쓇쎴뛔펦뗄뇪ힼ쿖폐뗄춳볆쓜솦뛔폚럇헽첬럖늼뗄웤쯻럖늼쿔뗃닮뻍쫇ꛒ,듓뛸VaR=W3ꇁꚤtꆣ컞솦ꆣVaR쒣탍뗄쒿뗄쫇캪쇋복짙늻좷뚨탔,폃떫쫇평폚헽첬럖늼뗄볙짨뷶쫇튻훖샭쿫ힴ첬,늻튻룶뿆톧뗄쒣탍살췆떼풤닢ꆣ쯼뗄늻ퟣ횮뒦훷튪쓜랴펳닺쫕틦뗄헦쪵뇤뚯,뛔폚쫕틦쪵볊뇤뮯폐틔쿂벸룶랽쏦:싊뗄룅싊럖늼뮹탨튪ퟷ돶룼ힼ좷뗄풤닢[6]ꆣ뛔(1)ퟷ캪튻훖믹폚샺쪷쫽뻝뛔캴살럧쿕뷸탐듋,맺췢뗄뷰죚뷧ퟷ돶맽뷏뛠퇐뺿,떫평폚짦벰뷏풤닢뗄랽램,웤볙짨룷춶욷훖폫쿠펦뗄쫐뎡틲뢴퓓뗄쫽톧,퓚듋뻍늻ퟷ쿪쾸뷩짜ꆣ쯘횮볤뗄맘쾵퓚캴살놣돖늻뇤,쿔좻퓚탭뛠쟩뿶쿂헢쫇늻럻뫏쪵볊뗄ꆣ4ꆡVaR뗄폅뗣폫뻖쿞탔(2)VaR쫇퓚쳘뚨뗄볙짨쿂뗃떽뗄럧쿕뷡VaR쒣탍캪쳡릩쇋튻훖볲뷠ꆢ폐킧뗄럧쿕볆맻,폐쪱헢킩볙뚨폫쿖쪵쟩뿶뿉쓜늻쿠럻ꆣ솿뫍맜샭릤뻟,붫VaR쒣탍틽죫떽춶ퟩ뫏럧쿕(3)VaR횻폐퓚쫐뎡헽뎣늨뚯뗄쟩뿶쿂닅쓜뛈솿뗄퇐뺿훐,늻뷶뿉볓잿믹뷰릫쮾ꆢ춶헟뫍볠릻뗃떽뷏뫃뗄럧쿕풤닢뷡맻ꆣ죧맻쫐뎡랢짺뻧쇒맜믺릹뛔춶ퟩ뫏럧쿕뗄볆솿뫍맜샭,튲뇘붫듙늨뚯,VaR춨뎣늻쓜릻ힼ좷뗘랴펳돶캴살뗄럧쿕뷸훐맺뷰죚튵뗄붡뾵랢햹ꆣ쯼뻟폐죧쿂폅뗣:횵,헢뻍탨튪웤쯻랽램(죧톹솦닢쫔램틔벰벫횵쒣(1)VaR룅쓮볲떥ꆢ죝틗샭뷢ꆣ듋랽램뿉틔쓢램)ퟷ캪뢨훺뗄럧쿕닢솿쫖뛎ꆣ붫닺ퟩ뫏뗄럧쿕뻟쳥뮯캪튻룶뿉틔폫쫕틦쿠욥(4)VaR랽램뫢솿뗄훷튪쫇쫐뎡럧쿕,죧떥엤뗄쫽ퟖ,뿉틔폃살볲떥쏷쇋뇭쪾쫐뎡럧쿕뗄듳뒿틀뾿VaR랽램,뻍믡뫶쫓웤쯻훖샠뗄럧쿕(죧킡,떥캻쫇쏀풪믲웤쯻믵뇒,쎻폐죎뫎벼쫵즫닊,탅폃럧쿕);쇭췢,듓벼쫵뷇뛈붲,VaR횵뇭쏷뗄쎻폐죎뫎튵놳뺰뗄춶헟뫍맜샭헟뚼뿉틔춨맽쫇튻뚨훃탅뛈쓚뗄ퟮ듳쯰쪧,떫늢늻쓜뻸뛔업돽VaR횵뛔뷰죚럧쿕뷸탐움에ꆣ룟폚VaR횵뗄쯰쪧랢짺뗄뿉쓜탔ꆣ샽죧,볙짨튻(2)VaR뿉틔몭룇펰쿬뷰죚닺뗄룷훖늻춬쳬뗄99%훃탅뛈쿂뗄VaR=ꇧ1000췲,죔믡폐쫐뎡틲쯘,춬쪱룃쒣탍튲뿉틔닢뛈럇쿟탔뗄볛룱1%뗄뿉쓜탔믡쪹쯰쪧뎬맽1000췲쏀풪ꆣ헢훖럧쿕컊쳢,늻뷶쓜볆쯣떥룶뷰죚릤뻟뗄럧쿕,뮹쓜쟩뿶튻떩랢짺,룸뺭펪떥캻듸살뗄뫳맻뻍쫇퓖쓑' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
뗚뗚ꆡꆡꆡꆡꆡ뫺ꆡ뗈19126뻭ꆡ2웚ꆡꆡꆡꆡꆡꆡ:믹폚럧쿕볛횵뗄춶ퟩ뫏럧쿕뛈솿퇐뺿ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ탔뗄ꆣ[2]ꆡ(램)볲ꆤ럆샻웕.놫닩뗂,(뇈)십뿋ꆤ늨쳘.뷰죚럧쿕퓚뷰죚럧쿕맜샭훐샭싛ꆪꆪꆪ듓춳볆컯샭떽럧쿕맜샭[M].놱뺩:뺭볃뿆,VaR랽램늢늻쓜몭룇튻쟐톧돶냦짧,2002.,죔탨ퟛ뫏쪹폃룷훖웤쯻뗄뚨탔ꆢ뚨솿럖컶랽램ꆣ닺맜샭헟뿉틔샻폃V[3]ꆡ듷맺잿.VaR랽램뛔컒맺뷰죚럧쿕맜샭뗄뷨본벰펦aR랽램ퟷ캪쇋뷢춶ퟩ뫏럧쿕뗄훘튪릤뻟폃[J].뷰죚퇐뺿,2000(7):15-18.,퓚볆쯣쫕틦폫럧쿕뇈뗄믹뒡짏뗷헻ퟩ뫏닺[4]ꆡ췵뒺럥,췲몣,헅ꆡ캬.뷰죚쫐뎡럧쿕닢솿쒣탍ꆪ,틔쪹웤헆컕뗄놾쓜믱뗃ퟮ폅엤훃ꆣVaR[J].쾵춳릤돌톧놨,2000(2):18-20.[5]ꆡ[M].NewYork:McGraw-Hill,1997.닎뾼컄쿗:[6]ꆡSmithsonC,:AGuidetoDerivativeProducts[J].FinancialEngineer2[1]ꆡ(쏀)럆샻웕ꆤ쟇죰.VaR:럧쿕볛횵ꆪꆪꆪ뷰죚럧쿕맜ingandValueMaximixation,1990(2):484-492.샭탂뇪ힼ[M].헅몣폣틫.놱뺩:훐탅돶냦짧,-at-RiskTechniqueHuTing,ChenJunningAbstract:Value-at-Risk(VaR),:Value-at-Risk;portfolio;riskestimationHuTing:Postgraduate;SchoolofManagement,HUST,Wuhan430074,China.[뇠벭:샮뗀컄]' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
