ZHAI Dong-sheng, YUAN Ning. On the Prediction Method of Stock Market Risk of China[J]. JOURNAL OF BEIJING UNIVERSITY OF TECHNOLOGY(SOCIAL SCIENCES EDITION), 2001, 1(3): 37-39,80.
    Citation: ZHAI Dong-sheng, YUAN Ning. On the Prediction Method of Stock Market Risk of China[J]. JOURNAL OF BEIJING UNIVERSITY OF TECHNOLOGY(SOCIAL SCIENCES EDITION), 2001, 1(3): 37-39,80.
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    On the Prediction Method of Stock Market Risk of China

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      • Abstract
    • The paper introduces several methods of measuring stock market risk. According to the international practice and the actual situation of stock market of China, A five-step approach to VaR calculations is put forward. And a practical example is shown about how to compute VaR of three different portfolios based on the stock market data of Shanghai from Nov. of 1998 to Apr. of 1999. The result shows that the prediction method is of great value.
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