Application of VaR methodology to risk management in the stock market in China

Ying Fan; Yi Ming Wei; Wei Xuan Xu

doi:10.1016/j.cie.2003.12.018

Application of VaR methodology to risk management in the stock market in China

Ying Fan^*, Yi Ming Wei, Wei Xuan Xu

^*Corresponding author for this work

CAS - Institutes of Science and Development

Research output: Contribution to journal › Article › peer-review

13 Citations (Scopus)

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%.

Original language	English
Pages (from-to)	383-388
Number of pages	6
Journal	Computers and Industrial Engineering
Volume	46
Issue number	2
DOIs	https://doi.org/10.1016/j.cie.2003.12.018
Publication status	Published - Apr 2004
Externally published	Yes

Keywords

Exponential weighted moving average
Risk management
Value at risk methodology

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10.1016/j.cie.2003.12.018

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@article{a03161627c0a4e63b25ca3d133193fbf,

title = "Application of VaR methodology to risk management in the stock market in China",

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%.",

keywords = "Exponential weighted moving average, Risk management, Value at risk methodology",

author = "Ying Fan and Wei, {Yi Ming} and Xu, {Wei Xuan}",

year = "2004",

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doi = "10.1016/j.cie.2003.12.018",

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volume = "46",

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journal = "Computers and Industrial Engineering",

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T1 - Application of VaR methodology to risk management in the stock market in China

AU - Fan, Ying

AU - Wei, Yi Ming

AU - Xu, Wei Xuan

PY - 2004/4

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N2 - 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%.

AB - 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%.

KW - Exponential weighted moving average

KW - Risk management

KW - Value at risk methodology

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U2 - 10.1016/j.cie.2003.12.018

DO - 10.1016/j.cie.2003.12.018

M3 - Article

AN - SCOPUS:2042449099

SN - 0360-8352

VL - 46

SP - 383

EP - 388

JO - Computers and Industrial Engineering

JF - Computers and Industrial Engineering

IS - 2

ER -

Application of VaR methodology to risk management in the stock market in China

Abstract

Keywords

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