VaR：Value-at-Risk 简记为VaR

VAR：Vector Autoregression 简记为VAR

注意大小写的区别～～

VaR is the percentile of loss (random variable) probability function. It determines the pobability of some extreme cases of loss. It's a function of time and probability required. Say Prob.{Loss > -VaR_alpha} = alpha.

There are many ways to estimate this measure. Historical simulation, Model Building, Monte Carlo Simulation.

In the industry, people use monte carlo simulation quite often. But one thing we have to pay attention to when doing MC simulation is the variance. There are bunch of papers discussing how to reduce the variance and save the computional time. Some methods people always mentioned are important sampling and stratified sampling etc.

If you are interested in this field, you can read check out some papers written by P.P. Boyle(he is the first guy who introduces monte carlo simulation method to asset pricing, Univ. of Waterloo), P. Glasserman(he has written many papers on this topic, Columbia Univ.) , M. Broadie(Columbia Univ.)

严重赞成！我也认为应该是这样的！！！

顶7楼的，

VaR 是一种风险测量方法，

VAR 这是金融计量中的向量自回归模型，用于处理多变量相互影响的情景。

var value at risk

在险价值分析

方法

Var 的书很多啊！

哈哈，方差！！

VaR 在英文教材里一般都是 value at risk，方差都不是所写的。

方差是Var

VaR是Value at Risk

赞成：VAR：Vector Autoregression 简记为VAR