Title of article
Application of VaR methodology to risk management in the stock market in China
Author/Authors
Ying Fan، نويسنده , , Yi-Ming Wei، نويسنده , , Weixuan Xu، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2004
Pages
6
From page
383
To page
388
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
Value at risk methodology , risk management , Exponential weighted moving average
Journal title
Computers & Industrial Engineering
Serial Year
2004
Journal title
Computers & Industrial Engineering
Record number
926446
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