| VaR方法及其在股市风险分析中的应用初探 |
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| 引用本文： | 范英.VaR方法及其在股市风险分析中的应用初探[J].中国管理科学,2000,8(3):27-33. |
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| 作者姓名： | 范英 |
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| 作者单位： | 中国科学院科技政策与管理科学研究所, 北京100080 |
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| 摘 要： | 本文讨论了度量投资风险的VaR方法的概念和计算方法,在股票价格随机游动的假设下计算了深圳股市在不同置信水平下的风险值,并与实际投资收益做了对比。在算例分析的基础上,对VaR方法在我国股票投资中的应用进行了初步探讨。
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| 关 键 词： | 投资风险 VaR方法 置信水平 |
| 收稿时间： | 2000-05-30; |
VaR Methodology and Its Application in Stock Market Risk Analysis |
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| FAN Ying.VaR Methodology and Its Application in Stock Market Risk Analysis[J].Chinese Journal of Management Science,2000,8(3):27-33. |
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| Authors: | FAN Ying |
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| Institution: | Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China |
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| 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. |
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| Keywords: | investment risk VaR methodology confidence level |
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