| 上证指数的VaR风险测量及有效性分析 |
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| 引用本文： | 黄雄艳.上证指数的VaR风险测量及有效性分析[J].长沙大学学报,2005,19(6):38-41. |
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| 作者姓名： | 黄雄艳 |
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| 作者单位： | 国家开发银行湖南省分行,湖南,长沙,410007 |
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| 摘 要： | 本文分别应用历史模拟法和RiskMetricsTM法对上证指数的市场风险进行了实证分析,结果表明:历史模拟法和RiskMetricsTM法对于上证指数的市场风险都有较好的估算结果.实证结果支持VaR的有效性,认为VaR有助于投资者的风险管理.
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| 关 键 词： | 风险值 风险测量 有效性 |
| 文章编号： | 1008-4681（2005）06-0038-04 |
| 收稿时间： | 2005-07-06 |
| 修稿时间： | 2005年7月6日 |
Risk Measurement on SSE-Index via VaR Model |
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| HUANG Xiong-yan.Risk Measurement on SSE-Index via VaR Model[J].Journal of Changsha University,2005,19(6):38-41. |
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| Authors: | HUANG Xiong-yan |
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| Institution: | Hunan Branch of China Development Bank, Changsha, Hunan 41007, China |
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| Abstract: | Using VaR systems to estimate market risk, this paper gives a full Pragmatic - study on Shanghai Composite Index by applying the RiskMetties model and the History- simulation model in it. The results show that these two methodologies have played an effective part in measuring the market risk of the index. Simultaneously, the result gives strong support to the effectiveness of VaR and indicates that VaR is a good helper in the risk management. |
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| Keywords: | Value at Risk(VaR) risk measurement effectiveness |
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