条件收益率下的VaR分析  

VaR Analysis Under Conditioned Revenue Ratio

作　　者：肖春来[1] 丁绍芳[1] 洪媛[1] 

机构地区：[1]北方工业大学经济管理学院,北京石景山100041

出　　处：《北方工业大学学报》2003年第3期88-94,共7页Journal of North China University of Technology

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 1 0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 。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.

关 键 词：条件收益率 VAR分析 证券 均值 方差 风险评价 价格 

分 类 号：F224.0[经济管理—国民经济]