摘要
风险价值 (VaR)是一种计算金融市场风险的综合方法。基于ARCH模型的方差—协方差法计算VaR的基本原则 ,选取人民币 /美元的每日汇率为研究对象 ,测度了人民币兑美元汇率的风险轨迹。
Value-at-risk(VaR)has been applied widely in recent years as an integrated method to measure financial risks.Based on auto-regressive conditional heteroskdatic(ARCH)model,and the research of RMB/USD foreign exchange rate,the risk course of it is measured
出处
《安徽工业大学学报（社会科学版）》
2004年第5期27-29,共3页
Journal of Anhui University of Technology：Social Sciences
