Financial risk measurement based on CAPM -EGARCH model-VAR calculation

摘要：

This article has carried on the simple introduction to the VAR meaning and the computational method, uses CAPM (capital asset fixed price model) to carry on the modeling to the financial property repayment, carries on the fitting using the EGARCH model to the financial property repayment undulatory property, has established the financial property risk value model. The real diagnosis analysis explanation that this model can fit the financial property accurately of the repayment process.

关键词： capital asset fixed price model EGARCH VaR different variance model

作者: Huang yumei Yan xueyi

作者单位: School of mathematics and system sciences Taishan university Taian, China Business unit two Zhongchuang software company Jinan, China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 119-122

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）