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| 金融市场风险度量及实证研究 | |
| 引用本文： | 魏岳嵩,林美艳,王峰.金融市场风险度量及实证研究[J].淮北煤炭师范学院学报(自然科学版),2003,24(4):11-15. |
| 作者姓名： | 魏岳嵩 林美艳 王峰 |
| 作者单位： | 1. 西安交通大学理学院,陕西,西安,710049;淮北煤炭师范学院数学系,安徽,淮北,235000 2. 西安理工大学理学院,陕西,西安,710048 3. 西安交通大学理学院,陕西,西安,710049 |
| 摘 要： | 本文讨论了利用VAR度量金融风险.通过CAPM和MonteCarlo两种方法计算了实证数据的VAR值,并通过比较分析,说明了目前在我国利用CAPM模型计算风险价值VAR可靠性较低,实用性较差. |
| 关 键 词： | VAR 投资组合 CAPM |
| 文章编号： | 1000-2227(2003)04-0011-05 |
| 修稿时间： | 2002年12月30 |
The Measure of Financial Market Risk and an Empirical Analysis |
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| WEI Yue-song,LIN Mei-yan,WANG Feng.The Measure of Financial Market Risk and an Empirical Analysis[J].Journal of Huaibei Coal Industry Teachers College(Natural Science edition),2003,24(4):11-15. | |
| Authors: | WEI Yue-song LIN Mei-yan WANG Feng |
| Institution: | WEI Yue-song1,2,LIN Mei-yan3,WANG Feng1 |
| Abstract: | In this paper,we measured financial market risk by VAR which is computed by CAPM and Monte Carlo method respectively.After analyzing the results of VAR computed with empirical data,we know that the CAPM method is unreasonable in computing the VAR of domestic financial market at present. |
| Keywords: | VAR portfolio CAPM |
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