DocumentCode
1859592
Title
Measure the risk value of stock market based on VAR method
Author
Xinrong, Li ; Jianhui, Yang
Author_Institution
Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou, China
Volume
3
fYear
2011
fDate
13-15 May 2011
Firstpage
559
Lastpage
561
Abstract
This paper uses the VaR method to measure the risk value of stock market and use model and process of Monte Carlo simulation to calculate. The way makes the measure of VaR more scientific and accurate under a given believe-degree. In addition, it is Operational for taking up less resource. So, Monte Carlo simulation is an excellent method for VaR calculation.
Keywords
Monte Carlo methods; stock markets; Monte Carlo simulation; VaR calculation; VaR method; risk value; stock market; Analytical models; Computational modeling; Estimation; Monte Carlo methods; Portfolios; Rail transportation; Reactive power; Monte Carlo simulation; VaR; risk assessment component;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location
Guangzhou
Print_ISBN
978-1-61284-108-3
Type
conf
DOI
10.1109/ICBMEI.2011.5920515
Filename
5920515
Link To Document