中美证券市场在险价值比较分析

在险价值作为金融行业计量市场风险的一种工具,已经被广泛接受。从期望在险价值的概念,计算出中美证券市场的期望在险价值并从实证研究中得出以下三个结论:从投资风险角度来看,中国证券市场的投资风险高于美国证券市场,同时证实上海证券市场的投资风险略高于深圳证券市场;就美国证券市场而言,投资风险最近十年低于整个100年的风险;上证指数和深成指数自设定以来季度在险价值服从分布,而美国整个100年的道琼斯工业指数的季度不服从分布,但近十年的季度服从分布。

Comparative Analysis of Value at Risk of Securities Market of China and U.S.

As a kind of tool that financial profession measures the risk of market,value at risk has already been accepted extensively.Calculate the expected value at risk of securities market of China and U.S.from the concept of expected value at risk,and draw three conclusions from research: first,seeing from the risk of invest,the risk of invest of securities market in China is higher than U.S.;second,the risk of invest of securities market of U.S.in the recent ten years is lower than the risk of one hundred year;third,science index of Shanghai stock exchange and index of Shenzhen stock exchange established,the quarter value at risk has obeyed distribution,but the quarter value at risk of Dao-Jones index of U.S.in one hundred year hasn't obeyed distribution,the quarter value at risk in recent ten years obeys distribution.