Total-parametric Methods of VaR and Its Applications in Risk Management of Financial Market
Ma Chao · Systems Engineering - Theory & Practice · 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. Research on stock market show that this new model gains an advantage over RiskMetrics which is a popular parametric method.