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Measure the risk value of stock market based on VAR method

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2 Author(s)
Li Xinrong ; Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou, China ; Yang Jianhui

This paper uses the VaR method to measure the risk value of stock market and use model and process of Monte Carlo simulation to calculate. The way makes the measure of VaR more scientific and accurate under a given believe-degree. In addition, it is Operational for taking up less resource. So, Monte Carlo simulation is an excellent method for VaR calculation.

Published in:

Business Management and Electronic Information (BMEI), 2011 International Conference on  (Volume:3 )

Date of Conference:

13-15 May 2011