| 条件收益率下的VaR分析 |
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| 引用本文： | 肖春来,丁绍芳,洪媛.条件收益率下的VaR分析[J].北方工业大学学报,2003,15(3):88-94. |
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| 作者姓名： | 肖春来 丁绍芳 洪媛 |
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| 作者单位： | 北方工业大学经济管理学院,100041,北京石景山 |
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| 摘 要： | 收益率是风险评价的基本命题，是计算VaR的基础。本文提出条件收益率的思想，即在一定价格水平上的收益率。通过沪深股市10支含H股股票的数据进行分析，证明条件收益率是客观存在的，且发现平均条件收益率随价格上升而下降的规律。据此，给出条件收益率下VaR的应用方法。
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| 关 键 词： | 条件收益率 VaR分析 证券 均值 方差 风险评价 价格 |
| 修稿时间： | 2002年10月16日 |
VaR Analysis Under Conditioned Revenue Ratio |
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| Xiao Chunlai,Ding Shaofang,Hong Yuan.VaR Analysis Under Conditioned Revenue Ratio[J].Journal of North China University of Technology,2003,15(3):88-94. |
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| Authors: | Xiao Chunlai Ding Shaofang Hong Yuan |
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| Abstract: | As the basic thesis of risk assessment, revenue ratio is the theoretical foundation for computing VaR. In this article, the idea of CRR(Conditioned Revenue Ratio) is established, which is a kind of profitable rate based on a certain price level. By analysing the data of 10 H shares from the stock markets of Shanghai and Shenzhen, the existense of CRR is justified and the inverse correlativity between CCR and price is proved. Furthermore, a method for computing VaR under the conditioned revenue ratio is put forward. |
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| Keywords: | conditioned revenue ratio(CRR) VaR analysis venture estimate |
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