| 基于VaR方法的我国外汇储备币种结构风险分析 |
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| 引用本文： | 艾之涛,杨招军.基于VaR方法的我国外汇储备币种结构风险分析[J].经济数学,2010,27(2):81-85. |
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| 作者姓名： | 艾之涛 杨招军 |
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| 作者单位： | 湖南大学,金融与统计学院,湖南,长沙,410079 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 基于VaR方法,把外汇储备看做是一个由不同币种组成的资产组合,通过实证分析测算各币种比例相对变化时的VaR值.结果表明,从控制风险的角度,目前我国应减少外汇储备中欧元的比重而增加美元的比重.
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| 关 键 词： | 外汇储备 币种结构 VaR方法 |
VaR Based Currency Composition Risk Analysis in Foreign Exchange Reserve |
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| AI Zhi tao and YANG Zhao jun.VaR Based Currency Composition Risk Analysis in Foreign Exchange Reserve[J].Mathematics in Economics,2010,27(2):81-85. |
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| Authors: | AI Zhi tao and YANG Zhao jun |
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| Institution: | (School of Finance and Statistics,Hunan University,Changsha,Hunan 410079,China) |
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| Abstract: | Based on VaR method,this paper regarded foreign exchange reserve as a portfolio composed of several currencies.By measuring VaR values of the portfolio as the proportion of currencies changes,we conclude that China＇s foreign exchange reserve should reduce the proportion of ECU,and accordingly increase the proportion of U.S dollar based on the empirical analysis. |
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| Keywords: | foreign exchange reserve currency composition VaR method |
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