Application of VaR methodology to risk management in the stock market in China

CASISD OpenIR > 中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)

	Application of VaR methodology to risk management in the stock market in China
	Fan, Y; Wei, YM; Xu, WX
发表期刊	COMPUTERS & INDUSTRIAL ENGINEERING
关键词	Value At Risk Methodology Risk Management Exponential Weighted Moving Average
摘要	This paper applies the new risk management tool, Value at Risk (VaR) methodology, to the stock market in China. From the comparison between the predicted VaR and real return, the calculated results are mostly satisfied with the confidence level at 95%. (C) 2004 Elsevier Ltd. All rights reserved.
	2004
卷号	46 期号:2 页码:6,383-388
ISSN	0360-8352
学科领域	Computer Science ; Industrial ; Interdisciplinary Applications ; Engineering
收录类别	SCI
语种	英语
WOS记录号	WOS:000221368600021
引用统计	被引频次：7[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/5105
专题	中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
推荐引用方式 GB/T 7714	Fan, Y,Wei, YM,Xu, WX. Application of VaR methodology to risk management in the stock market in China[J]. COMPUTERS & INDUSTRIAL ENGINEERING,2004,46(2):6,383-388.
APA	Fan, Y,Wei, YM,&Xu, WX.(2004).Application of VaR methodology to risk management in the stock market in China.COMPUTERS & INDUSTRIAL ENGINEERING,46(2),6,383-388.
MLA	Fan, Y,et al."Application of VaR methodology to risk management in the stock market in China".COMPUTERS & INDUSTRIAL ENGINEERING 46.2(2004):6,383-388.

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