VaR Methodology and Its Application in Stock Market Risk Analysis
Ying Fan · Zhongguo guanli kexue · 2000
This paper discusses the concept and calculation method of VaR for measuring investment risk. Based on the random walk hypothesis of stock price, the VaRs of stock in Shenzhen market under different confidence level are investigated, and the comparisons with actual investment return are also presented. The application of VaR to stock investment in China is illustrated with an example.