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A Measurement of the Value of Risks--the Application of Autoregressive Conditional Heteroskedasticitymodel to Financial Anticipation
Author(s): 
Pages: 20-24
Year: Issue:  1
Journal: NANKAI ECONOMIC STUDIES

Keyword:  风险价值量条件异方差模型检验;
Abstract: 风险价值量VAR(value at risk)的测算方法对金融机构实时监测其风险资产的迫切要求来说是至关重要的,特别是随着巴塞尔银行风险监管委员会对风险价值量评估方法的不断完善和对各签约国越来越紧迫的要求,各国金融机构开始逐渐将资产的风险监管系统建立在VAR方法的基础之上.本文使用广义的条件异方差GARCH模型构造VAR的计算与检验,不仅给出了GARCH在现代金融理论中的又一个应用,也为VAR的新计算方法探索了一条新路.
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