中国证券市场的风险价值评估

为降低金融机构风险,需要设计一个合理的评估市场风险的模型。本文介绍间接计算VaR的方法,并结合沪深两市证券市场给出一个具体的数值实例,阐明了风险价值的具体含义;同时利用拟合的方法将实际的收盘情况和预期的结果进行比较,分析发现提出的VaR度量模型在股市风险管理中有很好的效果。

Risk Value Evaluation for Chinese Securities Market

In order to reduce the risk of financial institutions,there is a need to design a model to evaluate the market risk.This paper proposes to indirectly calculate the VaR and utilizes a concrete numerical example to illustrate the specific meaning of VaR according to an actual occasions of both Shanghai and Shenzhen stock markets.Moreover,the actual closing price and the expected results are compared by a fitting method,showing that the proposed method is effective to assess stock market risk in practice.