Two Ways of Calculating VaR in Risk Management ——An Empirical Study Based on CSI 300 Index | Zendy

Yun-si Li | Zendy; Aihua Li | Zendy; Zhidong Liu | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Two Ways of Calculating VaR in Risk Management ——An Empirical Study Based on CSI 300 Index

Author(s) -

Yun-si Li,

Aihua Li,

Zhidong Liu

Publication year - 2018

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2018.10.259

Subject(s) - computer science , flexibility (engineering) , index (typography) , financial market , simplicity , financial risk , risk management , china , value at risk , monte carlo method , market risk , market data , risk analysis (engineering) , econometrics , finance , economics , business , statistics , philosophy , mathematics , management , epistemology , world wide web , political science , law

As the financial market of China continues to grow, how to control the potential risks in the financial market and to maintain the bottom line without large systemic financial risks becomes a problem that must be faced. The VaR method has become the most widely used financial risk measurement method by its simplicity, flexibility and flexibility. Based on the data of the CSI 300 Index in the past five years, this paper uses Monte Carlo simulation and historical simulation to calculate the VaR of the five-year index and test its validity. Finally, combining with the characteristics of China’s market economy, it puts forward some suggestions on financial risk management in China’s financial market.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research