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数学
Value at Risk Estimation
<正> 1.Introduction Value at risk(VaR)is an attempt to provide a single number for senior management summarizing the totalrisk in a portfolio of financial assets.It has become widely used by corporate treasures and fund managers aswell as by financial institutions.The US central band regulators also use VaR in determining the capital abank is required to keep to reflect the market risks it is bearing.
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Data Analysis, Econo-physics and Risk Management--Proceedings of CCAST (World Laboratory) Workshop
2001年
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