Value-at-Risk Methodolgy and its Application in Risk Measurement of Financial Market
Yinqi Zhang · Rorecasting · 2001
Value-at-Risk model developed recently is a mathematical model to measure and monitor market risk. This article puts forward a new model called total-parametric method to calculate VaR, which is in essence the mixture of parametric method and extreme value theory. Positive Research in stock market show this new model gains an advantage over RiskMetrics which is a popular parametric method.