The Threshold Crossing Method on Financial Risk Measurement
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.
Threshold Crossing Method Eztreme Theory Value at Risk Risk Measurement
Wenlong Sun
Management School, Donghua University, Shanghai, 200051, China
国际会议
第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)
武汉
英文
1460-1466
2009-05-30(万方平台首次上网日期,不代表论文的发表时间)