| 我国股市风险测算方法研究 |
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| 引用本文： | 翟东升,袁宁. 我国股市风险测算方法研究[J]. 北京工业大学学报(社会科学版), 2001, 1(3): 37-39,80 |
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| 作者姓名： | 翟东升 袁宁 |
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| 作者单位： | 北京工业大学经济与管理学院,北京,100022 |
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| 摘 要： | 文章概述了常见股市风险测算方法。结合我国的实际情况,参照国际惯例,提出了计算VaR风险值的5步计算方法,并用1998年11月-1999年4月的沪市数据对3个投资组合进行 VaR值计算,结果表明:计算结果对我国股票市场的风险测度具有参考价值。
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| 关 键 词： | 股票市场 风险分析 风险值 |
| 文章编号： | 1671-0398(2001)03-0037-03 |
On the Prediction Method of Stock Market Risk of China |
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| ZHAI Dong-sheng YUAN Ning. On the Prediction Method of Stock Market Risk of China[J]. Journal of Beijing Polytechnic University(Social Sciences Edition), 2001, 1(3): 37-39,80 |
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| Authors: | ZHAI Dong-sheng YUAN Ning |
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| Abstract: | The paper introduces several methods of measuring stock market risk. According to the international practice and the actual situation of stock market of China, A five-step approach to VaR calculations is put forward. And a practical example is shown about how to compute VaR of three different portfolios based on the stock market data of Shanghai from Nov. of 1998 to Apr. of 1999. The result shows that the prediction method is of great value. |
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| Keywords: | stock market risk analysis value at risk |
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