VaR金融指标！！考过的童鞋看看是不是这个原文！

ozymendias

RT 强烈感谢azhang2010
原文出自NYtimes
http://www.nytimes.com/2009/01/04/magazine/04risk-t.html?pagewanted=3&_r=4
There are many such models, but by far the most widely used is called VaR — Value at Risk. Built around statistical ideas and probability theories that have been around for centuries, VaR was developed and popularized in the early 1990s by a handful of scientists and mathematicians — “quants,” they’re called in the business — who went to work for JPMorgan. VaR’s great appeal, and its great selling point to people who do not happen to be quants, is that it expresses risk as a single number, a dollar figure, no less.

VaR isn’t one model but rather a group of related models that share a mathematical framework. In its most common form, it measures the boundaries of risk in a portfolio over short durations, assuming a “normal” market. For instance, if you have $50 million of weekly VaR, that means that over the course of the next week, there is a 99 percent chance that your portfolio won’t lose more than $50 million. That portfolio could consist of equities, bonds, derivatives or all of the above; one reason VaR became so popular is that it is the only commonly used risk measure that can be applied to just about any asset class. And it takes into account a head-spinning variety of variables, including diversification, leverage and volatility, that make up the kind of market risk that traders and firms face every day.

Another reason VaR is so appealing is that it can measure both individual risks — the amount of risk contained in a single trader’s portfolio, for instance — and firmwide risk, which it does by combining the VaRs of a given firm’s trading desks and coming up with a net number. Top executives usually know their firm’s daily VaR within minutes of the market’s close.

Risk managers use VaR to quantify their firm’s risk positions to their board. In the late 1990s, as the use of derivatives was exploding, the Securities and Exchange Commission ruled that firms had to include a quantitative disclosure of market risks in their financial statements for the convenience of investors, and VaR became the main tool for doing so. Around the same time, an important international rule-making body, the Basel Committee on Banking Supervision, went even further to validate VaR by saying that firms and banks could rely on their own internal VaR calculations to set their capital requirements. So long as their VaR was reasonably low, the amount of money they had to set aside to cover risks that might go bad could also be low

zliycdr

VaR 这个单词很冷僻的 我估计就是了~

ozymendias

恩，看看有没有童鞋能确定下

jackraywen

ozymendias太负责了，狂赞！

fishaha

DING!!!!

葛佳

UP

rayyzxy

我考过~~不过好像没有第一段的~~

icyblue

up ！！！

luob

后几段内容是这样的吗？

crazyxxx

up,感觉和有些基金描述吻合