The Application of VaR in the Risk Management of the Security Investment Funds

摘要：

Recently the security investment funds develop rapidly, and the application of VaR (Value at Risk) is of great significance in the risk management of the security investment funds. In respect that the rate of return exists the fat-tailed phenomenon and heteroskedasticity, the paper uses the Monte Carlo simulation method which is based on the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the T distributions to calculate VaR of the security investment funds. The proposed method has made good results in the empirical.

关键词： security investment funds VaR Monte Carlo simulation method GARCH model T distributions

作者: HUANG Chunxia HE Zerong

作者单位: The School of Finance, Southwest University of Finance and Economics, China, 610074

会议类型: 国际会议

会议名称: The 1st International Conference on Financial Risk and Corporate Financial Management(第一届金融风险与公司财务管理国际研讨会)

会议地点: 大连

会议语种:英文

页码: 1-4

在线出版日期: 2009-06-29（万方平台首次上网日期，不代表论文的发表时间）