Intraday VaR Measurement Using Ultra High Frequency Data
With the rapid development of financial markets, the traditional VaR which measured by day has been unable to meet the needs of financial risk management. Calculating intraday value at risk whose holding period is less than one day becomes increasingly important. This article sorted and refined and improved measure method of IVaR, and gave full consideration into the details of the measurement. And in the end, combined with the characteristics of Chinas stock market, we did an empirical study on IVaR.
High Frequency Data Intraday Value at Risk Monte Carlo Simulation
MIAO Xiaoyu
Xiamen International Bank Postdoctoral Station, Fujian Xiamen, 361001 Xiamen University Postdoctoral Center, Fujian Xiamen, 361005
国际会议
大连
英文
295-299
2012-07-07(万方平台首次上网日期,不代表论文的发表时间)