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| 摘要: |
| 本在对VaR方法的分析的基础上，选择了GAROH模型度量证券投资基金的风险，并计算了样本期间22只基金的VaR值。在此基础上给出了各基金对应的RAROC值，并对结果进行了分析。 |
| 关键词: VaR 证券投资基金 测算 风险估值模型 MOnteCarlo方法 RiskMetrics方法 GARCH模型 绩效评价 |
| DOI： |
| 分类号:F830.59 F224.0 |
| 基金项目: |
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| Method of VaR and measuring securities funds market risk with VaR |
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LI Ji-xiang
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| Abstract: |
| This article selected VaR-GARCH model based on the evaluation of kinds of Value-at-risk models,and measured the VaR of the securities funds in the estimates.According to the VaR of each securities funds,we give the evaluation of each securities fund by using RAROC measuring,and analyzed the conclusion. |
| Key words: VaR,GARCH model,RAROC |
