风险价值方法及其实证研究

Chinese Journal of Management Science ›› 2001, Vol. ›› Issue (5): 16-23.

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VaR Method and Its Empirical Research

MA Chao-qun^1,2, LI Hong-quan¹, ZHOU En¹, YANG Xiao-guang², XU Shan-ying², ZHANG Yin-qi ³

1. College of Business Administration, Hunan U niv ersity, Changsha 410082, China;
2. Laborator y of Management, Decision and Information Systems, Chinese Academy of Sciences, Beijing 100080, China;
3. Xiangcai Securities Co., Changsha 410005, China

Received:2001-01-12 Online:2001-10-28 Published:2012-03-06

Abstract

Abstract: This article aims at discussing VaR model,and introduces two new models called semi parametric method and total parametric method to calculate VaR,which is in essence the mixture of historical simulation method and extreme value theory, or the combination of parametric method and extreme value theory.Empirical research in stock market shows that these new models gain an advantage over RiskMetrics which is a popular parametric method.

Key words: Value at Risk(VaR), risk management, stock market

CLC Number:

C931

MA Chao-qun,LI Hong-quan,ZHOU En, et al. VaR Method and Its Empirical Research[J]. Chinese Journal of Management Science, 2001, (5): 16-23.

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VaR Method and Its Empirical Research

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