摘要
金融市场的快速发展使其出现了前所未有的波动性,因此金融风险监管对集体及个人都至关重要,而VaR又是现今金融风险度量的主要方法.目前常用的方法有:历史模拟法、分析法和MC模拟法,但在实施中存在很多严重的问题.文章采用MCMC模拟的方法计算VaR,并对上证指数进行实证分析,证实了MCMC比MC方法的优越性.
With the rapid development of the financial market,the volatility have arisen up unprecedentedly.Therefore,financial risk management are of vital importance to collectives and individuals.Nowadays one of the main financial risk measurements is VAR,among which the main commonly used methods are：History Simulation Method,analysis and MC Simulation Method,but many serious problems still remain.The paper calculates the VAR by MCMC Simulation Method and makes an empirical analysis on certain Shanghai Securities Composite Index in order to prove the advantages of MC Method over MCMC.
出处
《太原师范学院学报（自然科学版）》
2010年第3期13-16,共4页
Journal of Taiyuan Normal University:Natural Science Edition
