The Empirical Study of VaR Method in China's Financial Risk Management

机译：VaR方法在中国金融风险管理中的实证研究

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We discuss the main applications of VaR to finance currently, introduce the three main VaR methods (historical simulation method, parameter method and Monte Carlo simulation method),analyze their advantages and disadvantages respectively, and using the China's data and software such as Excel and STATA10.0, we study the application of VaR to China's financial risk and portfolio selection empirically. The results shows values of VaR in the three methods were relatively close, after backtesting, it reveals that all of them estimated VaR highly and underestimated the risks.

机译：我们讨论了VaR目前在金融中的主要应用，介绍了三种主要的VaR方法（历史模拟方法，参数方法和蒙特卡洛模拟方法），分别分析了它们的优缺点，并使用了Excel和STATA10等中国的数据和软件.0，我们通过实证研究了风险价值法在中国金融风险和投资组合选择中的应用。结果表明，三种方法中的VaR值相对接近，经过回测后发现，所有方法都高度评价了VaR并低估了风险。

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《2008 International Conference of Management Science and Engineering(2008管理科学与工程国际学术会议)论文集》|2008年|76-80|共5页
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LUO Dancheng; ZHOU Juan;
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VaR; financial risk management; portfolio;

机译：VaR;财务风险管理;投资组合;

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The Empirical Study of VaR Method in China's Financial Risk Management

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