DocumentCode
2811263
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
Volume
1
fYear
2010
fDate
22-24 Oct. 2010
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICCASM.2010.5619138
Filename
5619138
Link To Document