摘要
近几年来,武汉房地产越炒越热,投资房地产的风险开始显现,本文分别利用计算VaR常用的几种方法:德尔塔—正态评价法、历史模拟法和蒙特卡罗模拟法对武汉房地产市场的风险进行估算,比较各种方法的优劣,并得出历史模拟法在研究该问题时优于其它方法,最后利用该方法推算出武汉2006年第一季的市场风险并和全国平均风险进行比较分析。
The real estates in Wuhan become more and more serious during these years.The investment risk on real estates turns up.This paper estimates the market risk on real estate in Wuhan by using the common methods of VaR:the Delta-Normal Valuation Approach,the Historical Simulation Method and the Monte Carlo Simulation Approach.Comparing with these methods,the results is that Historical Simulation Method is surpass other methods in this area.Finally,forecast and compare the risk in Wuhan with the national average risk in the first season of 2006 by using uses the Historical Simulation Method.
出处
《中南财经政法大学研究生学报》
2006年第5期28-33,共6页
Journal of the Postgraduate of Zhongnan University of Economics and Law
关键词
风险价值
德尔塔—正态评价法
历史模拟法
蒙特卡罗模拟法
Value at Risk
Delta-Normal Valuation Approach
Historical Simulation Method
Monte Carlo Simulation Approach
