Application of VaR methodology to risk management in the stock market in China
Fan, Y; Wei, YM; Xu, WX
2004
Source PublicationCOMPUTERS & INDUSTRIAL ENGINEERING
ISSN0360-8352
Volume46Issue:2Pages:6,383-388
AbstractThis 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.
KeywordValue At Risk Methodology Risk Management Exponential Weighted Moving Average
Subject AreaComputer Science ; Industrial ; Interdisciplinary Applications ; Engineering
Indexed BySCI
Language英语
WOS IDWOS:000221368600021
Citation statistics
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/5105
Collection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)
Recommended Citation
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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