摘要
期货市场是高风险市场 ,为有效控制和监管其风险 ,推介了一种修正的VaR计算方法 ,并应用上海期交所的实际数据 ,具体计算出VaR的时间序列 ,并论证了如何应用该时间序列来评估风险的大小。
Futures market is of high risk. In order to control its risk efficiently, a correct calculating method of VaR is introduced, and the real example is analysed by using the practical data from Shanghai futures exchange to illustrate the calculating procedure of VaR and the application of VaR time serial curve in the futures market risk evaluation.
出处
《中南工业大学学报（社会科学版）》
2001年第4期325-327,共3页
Social Science Journal For Central South University of Technology
基金
国家自然科学基金资助项目 (79770 10 2 )
