The Empirical Study of VaR Method in Chinas Financial Risk Management
We discuss the main applications of VaR to finance currently, introduce the three main VaR methods (historical simulation method, parameter method and Monte Carlo simulation method),analyze their advantages and disadvantages respectively, and using the Chinas data and software such as Excel and STATA10.0, we study the application of VaR to Chinas financial risk and portfolio selection empirically. The results shows values of VaR in the three methods were relatively close, after backtesting, it reveals that all of them estimated VaR highly and underestimated the risks.
VaR financial risk management portfolio
LUO Dancheng ZHOU Juan
School of Eoonomic,Shenyang University of Technology,China,110178;School of Economic and Management, School of Economic and Management,Shenyang Agriculture University,China,110161
国际会议
2008 International Conference of Management Science and Engineering(2008管理科学与工程国际学术会议)
河南焦作
英文
76-80
2008-11-01（万方平台首次上网日期，不代表论文的发表时间）