Application of Value at Risk methodology to risk management in the stock market of China

Application of Value at Risk methodology to risk management in the stock market of China

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Article ID: iaor20043058
Country: Netherlands
Volume: 46
Issue: 2
Start Page Number: 383
End Page Number: 388
Publication Date: Apr 2004
Journal: Computers & Industrial Engineering
Authors: , ,
Keywords: investment
Abstract:

This paper applies the new risk management tool, Value at Risk (VaR) methodology, to the stock market in China. From the comparison between the predicted VaR and real return, the calculated results are mostly satisfied with the confidence level at 95%

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