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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作者单位
艾之涛 (湖南大学 金融与统计学院湖南 长沙410079) 
杨招军  
中文摘要: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.
中文关键词:外汇储备,币种结构,VaR方法
 
VaR Based Currency Composition Risk Analysis in Foreign Exchange Reserve
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.
keywords:foreign exchange reserve  currency composition  VaR method
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