[求助]请问什么是VAR

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那位仁兄能告诉我什么是VAR，谢谢

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关键词：VaR VaR

variable的缩写，就是变量，找一本计量经济学或者统计学原著看一下吧。

一般中文版也应该有啊

楼上的：

VECTOR AUTOREGRESSION（VAR），向量自回归～～

还有另外一个，这个你不应该再搞错了：Var(Value at Risk)～～

谢谢楼上的两位了，我要好好看看书了。

呵呵，var通常是指value at risk，你看任何一本写金融风险的书都有的，衡量风险价值的大小，比如，credit risk,market risk，有这种衡量方法，建议看一下风险管理的书

VaR(Value-at-Risk 简记为VaR)中文译为"风险价值",是指在正常的市场条件和给定的置信度内,用于评估和计量任何一种金融资产或资产组合在既定时期内所面临的市场风险大小和可能遭受的潜在最大价值损失,是对市场风险的总体性评估。

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.)

个人认为这个就是方差吧？（VARIANCE）我们平时都是用VAR来代表方差的。

很多意思，看情况识别