The Threshold Crossing Method on Financial Risk Measurement

摘要：

The importance of risk management in finance cannot be overstated in the dynamic financial market The paper utilizes threshold crossing method to calculate of the magnitudes and probabilities of large potential losses due to extreme events such as stock market crashes, currency crises. The paper implements the new method to empirically test Shangzheng Stock Index daily return. The result shows the effectiveness of the method.

关键词： Threshold Crossing Method Eztreme Theory Value at Risk Risk Measurement

作者: Wenlong Sun

作者单位: Management School, Donghua University, Shanghai, 200051, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1460-1466

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）