摘要：在險(xiǎn)價(jià)值（Value at Risk，簡稱VaR）是J.P.摩根公司用來計(jì)量市場(chǎng)風(fēng)險(xiǎn)的產(chǎn)物。VaR是國際上新近發(fā)展起來的一種卓有成效的風(fēng)險(xiǎn)量化技術(shù)，是當(dāng)今西方金融機(jī)構(gòu)和工商企業(yè)廣泛采用的風(fēng)險(xiǎn)管理模型。 本文運(yùn)用計(jì)算VaR的方差-協(xié)方差方法和歷史模擬法對(duì)上證180指數(shù)進(jìn)行實(shí)證研究。實(shí)證結(jié)果表明，VaR能準(zhǔn)確地反映我國股市的風(fēng)險(xiǎn)，從而能為股民投資提供參考。
關(guān)鍵詞：在險(xiǎn)價(jià)值  上證180指數(shù)   股票

A discussion on effectiveness of VaR theory in Chineses securities market
——actual analysis based on Shanghai 180 Index
Abstract: Value at risk (VaR) is a product made by J.P. Morgan Company to measure the market risks. VaR is one kind of effective risk quantification technology which has recently developed nationwide, and a risk management model that western financial institutions and the industry and commerce enterprises widely use. This article makes a research and discussing on the example of Shanghai 180 index based on the VaR method analysis, that is, calculate the VaR of Shanghai 180 index by the Variance-Covariance Approach and Historical Sinulation Approach and then make the examination on the VaR method can accurately reflect risks of Chinenese stock market and be the evidence for investor to invest with consideration of time span and capital adequacy order.
Key words:Value at Risk;Shanghai 180 Index;Stock