摘要
收益率是风险评价的基本命题 ,是计算VaR的基础 .本文提出条件收益率的思想 ,即在一定价格水平上的收益率 .通过沪深股市 1 0支含H股股票的数据进行分析 ,证明条件收益率是客观存在的 ,且发现平均条件收益率随价格上升而下降的规律 .据此 。
As the basic thesis of risk assessment, revenue ratio is the theoretical foundation for computing VaR. In this article, the idea of CRR(Conditioned Revenue Ratio) is established, which is a kind of profitable rate based on a certain price level. By analysing the data of 10 H shares from the stock markets of Shanghai and Shenzhen, the existense of CRR is justified and the inverse correlativity between CCR and price is proved. Furthermore, a method for computing VaR under the conditioned revenue ratio is put forward.
出处
《北方工业大学学报》
2003年第3期88-94,共7页
Journal of North China University of Technology
