Title :
Financial risk measurement based on CAPM - EGARCH model----VAR calculation
Author :
Yumei, Huang ; Xueyi, Yan
Author_Institution :
Sch. of Math. & Syst. Sci., Taishan Univ., Taian, China
Abstract :
This article has carried on the simple introduction to the VAR meaning and the computational method, uses CAPM (capital asset fixed price model) to carry on the modeling to the financial property repayment, carries on the fitting using the EGARCH model to the financial property repayment undulatory property, has established the financial property risk value model. The real diagnosis analysis explanation that this model can fit the financial property accurately of the repayment process.
Keywords :
autoregressive processes; financial management; pricing; property market; risk analysis; CAPM-EGARCH model; VAR calculation; capital asset fixed price model; financial property repayment undulatory property; financial property risk value model; financial risk measurement; Biological system modeling; Data models; Electronic mail; Equations; Extraterrestrial measurements; Levee; Mathematical model; Capital asset fixed price model; Different variance model; EGARCH; VaR;
Conference_Titel :
Computer Application and System Modeling (ICCASM), 2010 International Conference on
Conference_Location :
Taiyuan
Print_ISBN :
978-1-4244-7235-2
Electronic_ISBN :
978-1-4244-7237-6
DOI :
10.1109/ICCASM.2010.5619138
