VaR模型在金融风险预测中的应用--以股票投资为例摘要:本文首先介绍了VaR的含义,然后使用不同的VaR模型预测一支股票的投资风险。最后,我们进行了测试,结果表明VaR模型具有更好的应用价值研究证券投资风险预测。关键词:风险投资;风险;证券投资一、VaR的含义VaR的字面解释是“价值风险”。特别是,它意味着在置信水平,给定...
关键词:股指期货,VaR计量,风险管理V上海大学硕:t学位论文ABSTRACTStockindexfuturesisakindofnewderiVatiVefinancialtoolthatWaSdevelopedin80’S20th whichhasthefunctionofpricediscovering avoidingriskandpropertydistributing.ItisaderivativefinancialfacilityforhedgingthecurrentaSsets,whichCanperfectsecuritymarket'sfunctionand...
Finally, we made a measurement test, and the result shows that the V AR model has better application values on the risk prediction of stock investment. Keywords: V AR; investment risk; stock investment The Meaning of VaR to estimate mean and variance. The literal...
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Singular events like the migration of a humpback whale or a dance at senior prom or a parking ticket have no real meaning. In order to make sense of ourselves—where we’ve come from and where we’re going—we tell stories. Seeing that humpback whale off the coast of Cape Cod may ...
Its clear meaning and computational ease made it very popular among practitioners, so much so that it has widely infiltrated the banking regulatory framework. However, VaR has a number of drawbacks (Artzner, Delbaen, Eber, Heath, 1997, Artzner, Delbaen, Eber, Heath, 1999). First, VaR does...
基于VaR—GAROH模型的我国股指期货市场风险测评摘要股指期货作为衍生金融工具的一种,对完善股票市场的交易功能、降低交易成本、健全股票市场的价格机制、为股票投资者提供较多的价格风险规避机制等方面均有积极的作用。但是股指期货同样是一把双刃剑,它在发挥套期保值等功能时,其价格波动的特点和保证金的杠杆作用容易扩大风...
关键词:股票型基金;资产配置;VaR;CVaR 重庆工商大学硕士学位论文 Abstract Withthe growing stock marketrisk risk management of equity funds is particularlyimportant.StatisticaldataofFundsResearchCenterin Galaxy Securities showedthatthemaximumdeviationoftheyieldofopen.endfundismorethan100 percent in 2009.According...
Another method to calculate the VaR of a portfolio is to use the correlations and standard deviations of stock returns provided by RiskMetrics. This method also assumes that stock returns follow anormal distribution. The first step to calculating VaR is taking the square of the allocated funds ...