Application of VaR methodology to risk management in the stock market in China

被引：8

作者：

Fan, Y ^{[1
]}

Wei, YM ^{[1
]}

Xu, WX ^{[1
]}

机构：

[1] Chinese Acad Sci, Inst Policy & Management, Beijing 100080, Peoples R China

来源：

COMPUTERS & INDUSTRIAL ENGINEERING | 2004年 / 46卷 / 02期

关键词：

value at risk methodology; risk management; exponential weighted moving average;

D O I：

10.1016/j.cie.2003.12.018

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper applies the new risk management tool, Value at Risk (VaR) methodology, to the stock market in China. From the comparison between the predicted VaR and real return, the calculated results are mostly satisfied with the confidence level at 95%. (C) 2004 Elsevier Ltd. All rights reserved.

引用

页码：383 / 388

页数：6