摘要
讨论用蒙特卡罗模拟(M C)方法计算风险价值(VAR)。分别用样本标准差和广义自回归条件异方差(GARCH)作为参数代入几何布朗运动方程中,并把计算结果进行比较,得出各模型的适用范围。
There are three ways to compute value at risk. Monte carlo simulation is the best way. Garch model is a good tool to handle the time series data. In this article, the two tools were combined to compute VAR,then draw a conclusion that the MC-GARCH-VAR is better than others.
出处
《系统工程》
CSCD
北大核心
2006年第7期57-61,共5页
Systems Engineering
