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- W2357361102 abstract "Exploring the measurement model of the stock market risk is one of the focus that the governor of finance risk pays attention to.The Value-at-Risk measurement model is regarded as main risk measurement tool for supervising market risk by financial institution and non-financial corporation.However,if the Value-at-Risk model measure the stock market risk in effect don't only lie on the estimation accuracy,but also the variability of VaR models.So exploring the variability of VaR models for chinese primary stock market has some practice significance.In Chinese primary stock market,the paper first studies the exhibition of controlling risk by VaR measurement under different setting windows.The second,by double criterion of MRB and RMSRB,we comparatively study the variability of VaR estimation by parameter methods、by half-parameter methods and by non-parameter methods.The conclusion is as follow:in the variability of VaR calculation models,the parameter model has little variability and declination,and half-parameter methods is between the parameter and non-parameter methods,but non-parameter methods has more variability and declination.A certain extent,this explains the characteristic of arbitrage in stock market of the emerging country." @default.
- W2357361102 created "2016-06-24" @default.
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- W2357361102 date "2012-01-01" @default.
- W2357361102 modified "2023-09-27" @default.
- W2357361102 title "Research on the Variability of VaR Models in Chinese Primary Stock Market" @default.
- W2357361102 hasPublicationYear "2012" @default.
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