基于超高频数据的日内风险价值度量研究

Intraday VaR Measurement based on Ultra-high Frequency Data

随着金融市场的快速发展,传统的以日为单位的风险价值(VaR)已无法满足金融风险管理的需求,计算持有期小于1天的日内风险价值(Intraday VaR)显得愈加重要。文中对日内风险价值测度的方法进行了梳理、细化和改进,对测度中细节给予更加充分的考虑,最后结合我国股市特点对日内风险价值测度进行了实证研究。

With the rapid development of financial markets,the traditional VaR which is measured by day has been unable to satisfy the demand of financial risk management.Calculating intraday value at risk whose holding period is less than one day becomes increasingly important.This article sorted and refined and improved measure method of IVaR,and gave full consideration to the details of the measurement.In the end,combined with the characteristics of China’s stock market,we did an empirical study on IVaR.