| VaR的计算方式及其回测检验——基于计算机产业股票的实证研究 |
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| 引用本文： | 张顺.VaR的计算方式及其回测检验——基于计算机产业股票的实证研究[J].吉林省经济管理干部学院学报,2012,26(2):61-64. |
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| 作者姓名： | 张顺 |
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| 作者单位： | 澳门科技大学行政与管理学院,中国澳门,000853 |
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| 摘 要： | VaR自上个世纪90年代起,已经成为了主流的度量风险的方式,但是,VaR模型的计算方式有十多种,哪一种VaR模型是最优模型,甚至于构建什么样的比较框架才能选择出最优模型,仍然没有一个统一的标准。采取比较主流的方式对VaR在股票中的计算以及对VaR模型的回测,是呈现VaR作为现阶段最为流行的风险度量工具的计算和回测检验的方式。
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| 关 键 词： | VaR 股票风险 回测检验 |
The VaR Calculation Method and its Back Measured Test——An Empirical Study Based on Computer Industry Stock |
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| Zhang Shun.The VaR Calculation Method and its Back Measured Test——An Empirical Study Based on Computer Industry Stock[J].Journal of Jilin Province Economic Management Cadre College,2012,26(2):61-64. |
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| Authors: | Zhang Shun |
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| Institution: | Zhang Shun(Management and Administration,Macau University of Science and Technology,Macao,China 000853) |
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| Abstract: | since the 1990s of the last century,VaR has become a mainstream way to measure risk,but there are dozens of calculation methods of VaR model.There is no unified standard as for what kind of VaR model is the best one and what comparative framework can help to select the best model.To take a more mainstream way to calculate the VaR in stock and backtest VaR model is very useful. |
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| Keywords: | VaR Stock risk Backtesting |
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