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1.2.3.4.FundLiquidityMarketLiquidity5.12346.7.8.9.10.&;1.2.:19391VaR:VaR2.CttDTyCT=FiCt=F(1+i)dyDyP-yP+312i3y45jj158%1209%.dP-5.555120-5.555=114.445-5.55120-5.555=114.445258%1209%=-5%120-120*5%=1144.1C2i,34jj5.0ii1006.Str1Delta,2GammaS3Theta4Lambda5Rho1.2347.VaR:VaR.1.VaR2.A.VaRVaRVaRB.C.VaRVaR(1)VaR;R;E(R)P(2)VaRccVaR:;cVaR:(3).1VaRVaRctVaRVaRVaRVaRVaRVaR3-412VaRVaR3VaR1VaR23MonteCarloVaRVaR4VaR5VaRVaR6VaR7VaR8VaRVaR8.1.19705CLAPP207080LogitProbitAltmanZZETA2090KMVCreditMetricscreditporfolioviewCreditRisk+:5C5P5WLAPP5COCC2.12.i=1,2,,Nmi,RRini,RRiMDRi,RRN=(3)NRNN-1(4)RN(5)3TDD-,Dd23.CLcreditlossesnCEiicreditexposureLGDiiCEiLGDii4.1001001-LGD);100LGDrCS,100r5.ZZETAZZZZZAltmanZZZ=(1.812.99),Z1.811.81Z2.99ZZETA7X1X2X3X4X5X6X7X1X2X3X4X6X7q1,q2c1,c212ZZETA6.CreditMetricsnkjCFVjii=0;,1ij1i5BBB1006%AAAA12343.654.224.785.17aF7.KMVDDTTTEDF=100020%10019675000DD2.33501.197519831988199290199719982.3.12341234.1234