The validity analysis of value-at-risk technique in Chinese securities market

被引：0

作者：

Li, K ^{[1
]}

Yu, XY ^{[1
]}

Gao, F ^{[1
]}

机构：

[1] Northeastern Univ, Sch Business Adm, Shenyang 110014, Peoples R China

来源：

PROCEEDINGS OF 2002 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II | 2002年

关键词：

VaR; back-test; normal distribution; risk management;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper chooses some historical data of Shanghai and Shenzhen composite indexes as samples to calculate their VaR values with three representative calculation methods. It uses Kupiec's Back-test to evaluate these methods' validity in Chinese securities market. The result of this paper tells us that there is a big error when using Riskmetrics method and that Complete Parametric method is suitable for the Chinese securities market.

引用

页码：1518 / 1521

页数：4