摘 要:随着金融业的迅猛发展,金融风险管理的重要性越来越突出,以及科学的风险估计方法的使用也越来越受到人们的关注,本文主要介绍了Var的质量一致的定量风险分析方法.文章包括对Var各个方面的介绍,以及结合近些年中国股市的数据,用Var的计算方法来对中国股市进行估计与分析.Var方法是统计在金融领域的应用知识,所以这是金融和统计之间的相互渗透等方面都做了介绍,最后还将基于Var的粗糙的中国股票市场协整分析模型的方法.7419
关键词:Var的含义,蒙特卡罗方法,历史模拟法,协整分析
Estimation and analysis China stock market Var
Abstract:With the rapid development of the financial industry, the importance of financial risk management is more and more prominent, and the scientific risk estimation method is the use of more and more attention, this paper mainly introduces the quantitative risk consistent Var quality analysis method. The article includes all aspects of Var are introduced, and combined with the Chinese stock market data, using the calculation method of Var to estimate and analysis of Chinese stock market. The Var method is the application of knowledge in the field of financial statistics, so it is between financial and statistical interaction are introduced, finally the Var method based on the rough Chinese stock market co integration analysis model.
Keywords: the meaning of Var, the Monte Carlo method, historical simulation method, co integration analysis
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