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Chinese Journal of Management Science ›› 2000, Vol. ›› Issue (3): 27-33.

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VaR Methodology and Its Application in Stock Market Risk Analysis

FAN Ying   

  1. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China
  • Received:2000-05-30 Online:2000-09-28 Published:2012-03-06

Abstract: This paper discusses the concept and calculation method of VaR for measuring investment risk. Based on the random walk hypothesis of stock price, the VaRs of stock in Shenzhen market under different confidence level are investigated, and the comparisons with actual investment return are also presented. The application of VaR to stock investment in China is illustrated with an example.

Key words: investment risk, VaR methodology, confidence level

CLC Number: