摘要
VaR(value at risk)是近年来受金融业界广泛认可的一种风险定量分析工具。蒙特卡罗模拟(MC)法是计算VaR的一种经典方法。文章通过运用eviews软件对中国石化股票进行实证分析,得出该股票日收盘价服从几何布朗运动,并在此随机过程基础上运用MC法对其股票日收盘价进行VaR计算。
Value at risk, as a risk quantitative analysis tool, is widely recognized by the financial circle in recent years, and Monte Carlo Simulation is a classic method for the calculation of VaR. This paper using Eviews conducts an empirical analysis of the stock of China petroleum, which shows that the closing price of the stock follows the geometric Brownian motion. Based on this random process, VaR of the closing price of the stock is calculated by MC method.
出处
《黄山学院学报》
2015年第3期1-4,共4页
Journal of Huangshan University
基金
黄山学院自然科学研究项目(2015xkj004
2015xkj005)
关键词
VAR计算
几何布朗运动
蒙特卡罗模拟
calculation of VaR
Geometric Brown Motion
Monte Carlo Simulation
