Intraday VaR Measurement Using Ultra High Frequency Data

摘要：

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.

关键词： High Frequency Data Intraday Value at Risk Monte Carlo Simulation

作者: MIAO Xiaoyu

作者单位: Xiamen International Bank Postdoctoral Station, Fujian Xiamen, 361001 Xiamen University Postdoctoral Center, Fujian Xiamen, 361005

会议类型: 国际会议

会议名称: The 4th (2012) International Conference on Financial Risk and Corporate Finance Management(第四届(2012)金融风险与公司金融国际研讨会 FRCFM)

会议地点: 大连

会议语种:英文

页码: 295-299

在线出版日期: 2012-07-07（万方平台首次上网日期，不代表论文的发表时间）