var理论在我国证券市场的有效性探讨.doc

摘要：在险价值（Value at Risk，简称VaR）是J.P.摩根公司用来计量市场风险的产物。VaR是国际上新近发展起来的一种卓有成效的风险量化技术，是当今西方金融机构和工商企业广泛采用的风险管理模型。 本文运用计算VaR的方差-协方差方法和历史模拟法对上证180指数进行实证研究。实证结果表明，VaR能准确地反映我国股市的风险，从而能为股民投资提供参考。
关键词：在险价值  上证180指数   股票

A discussion on effectiveness of VaR theory in Chineses securities market
——actual analysis based on Shanghai 180 Index
Abstract: Value at risk (VaR) is a product made by J.P. Morgan Company to measure the market risks. VaR is one kind of effective risk quantification technology which has recently developed nationwide, and a risk management model that western financial institutions and the industry and commerce enterprises widely use. This article makes a research and discussing on the example of Shanghai 180 index based on the VaR method analysis, that is, calculate the VaR of Shanghai 180 index by the Variance-Covariance Approach and Historical Sinulation Approach and then make the examination on the VaR method can accurately reflect risks of Chinenese stock market and be the evidence for investor to invest with consideration of time span and capital adequacy order.
Key words:Value at Risk;Shanghai 180 Index;Stock