摘要
采用VaR模型对股票进行风险管理.介绍了VaR的3种主要计算方法,分别是参数模拟法、历史模拟法和蒙特卡罗模拟法,选取2016年沪深300指数每日收盘价序列作为分析目标,采用参数模拟法,通过MATLAB软件估计VAR值,计算出在一定的持有期内,在相应的置信度水平下的最大损失.对股票市场的风险管理提出了相关建议,并提出VaR模型未来的发展方向.
VaR model is used to manage the stock risk.The three main calculation methods of VaR are introduced,which are parameter simulation method,historical simulation method and Monte Carlo simulation method.The daily closing price series of Shanghai and Shenzhen 300 index is selected as the analysis target,the parameter simulation method is used to estimate the VAR value,so as to calculate the maximum loss in the corresponding confidence level in a certain holding period.Puts forward some suggestions on the risk management of the stock market and explores the future development direction of the VaR model.
出处
《高师理科学刊》
2018年第1期9-12,共4页
Journal of Science of Teachers＇College and University
基金
国家级大学生创新创业训练计划项目(201610378418)
关键词
VAR模型
沪深300指数
参数模拟法
风险管理
VaR model
Shanghai and Shenzhen 300 index
parametric simulation
risk management
