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VaR方法是目前国际上评价市场风险的重要方法,用该方法研究我国的证券市场,可以为投资者控制市场提供有效的参考指标。本文介绍了VaR的定义和计算方法,并选取适当数据对我国证券市场进行了实证分析。
VaR method is an important method to evaluate the market risk in the world at present. Using this method to study the securities market in our country can provide an effective reference for investors to control the market. This paper introduces the definition and calculation of VaR, and selects the appropriate data to carry out an empirical analysis of China’s securities market.