统计研究 ›› 2006, Vol. 23 ›› Issue (8): 49-51.

• 论文 • 上一篇    下一篇

一种基于VaR视角下的国际利率风险的测度公式

焦继文 ;王福重   

  1. 山东大学;北京航空航天大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2006-08-15 发布日期:2006-08-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2006-08-15 Published:2006-08-15

Abstract: Abstract:This paper. According to the logic thoughts of the international popular risk management tool-VaR model, constructs the risk losses function of international interest rates debtor countries will face when they borrow one foreign currency at the fixed rates at the beginning of the loan duration, and gives the resolution expression of VaR. The measurement formula set up in this paper will provide a new approach for the host nations to calculate the risks of intemational interest rates accurately, and then avoid or reduce the risks of international interest rates effectively.