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。
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.
出处
《长沙大学学报》
2005年第6期38-41,共4页
Journal of Changsha University
关键词
风险值
风险测量
有效性
Value at Risk（VaR）
risk measurement
effectiveness
