Measure the risk value of stock market based on VAR method

摘要：

This paper uses the VaR method to measure the risk value of stock market and use model and process of Monte Carlo simulation to calculate. The way makes the measure of VaR more scientific and accurate under a given believedegree. In addition, it is Operational for taking up less resource. So, Monte Carlo simulation is an excellent method for VaR calculation.

关键词： MonteCarlosimulation VaR riskassessmentcomponent

作者: Li Xinrong Yang Jianhui

作者单位: School of Business Administration South China University of Technology Guangzhou 510640, China School of Business AdministrationSouth China University of TechnologyGuangzhou 510640, China

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-3

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）