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
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;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5920515
