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
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
Journal title :
Computers & Industrial Engineering
