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

Ying Fan; Yi Ming Wei; Wei Xuan Xu

doi:10.1016/j.cie.2003.12.018

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

Ying Fan^*
, Yi Ming Wei
, Wei Xuan Xu

^*此作品的通讯作者

CAS - Institutes of Science and Development

科研成果: 期刊稿件 › 文章 › 同行评审

13 引用（Scopus）

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%.

源语言	英语
页（从-至）	383-388
页数	6
期刊	Computers and Industrial Engineering
卷	46
期	2
DOI	https://doi.org/10.1016/j.cie.2003.12.018
出版状态	已出版 - 4月 2004
已对外发布	是

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@article{e3f45b6fad1740e98a1c449c4bed94b0,

title = "Application of VaR methodology to risk management in the stock market in China",

abstract = "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\%.",

keywords = "Exponential weighted moving average, Risk management, Value at risk methodology",

author = "Ying Fan and Wei, \{Yi Ming\} and Xu, \{Wei Xuan\}",

year = "2004",

month = apr,

doi = "10.1016/j.cie.2003.12.018",

language = "英语",

volume = "46",

pages = "383--388",

journal = "Computers and Industrial Engineering",

issn = "0360-8352",

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T1 - Application of VaR methodology to risk management in the stock market in China

AU - Fan, Ying

AU - Wei, Yi Ming

AU - Xu, Wei Xuan

PY - 2004/4

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N2 - 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%.

AB - 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%.

KW - Exponential weighted moving average

KW - Risk management

KW - Value at risk methodology

UR - https://www.scopus.com/pages/publications/2042449099

U2 - 10.1016/j.cie.2003.12.018

DO - 10.1016/j.cie.2003.12.018

M3 - 文章

AN - SCOPUS:2042449099

SN - 0360-8352

VL - 46

SP - 383

EP - 388

JO - Computers and Industrial Engineering

JF - Computers and Industrial Engineering

IS - 2

ER -

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

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