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本文主要介绍了金融市场的风险管理工具在险价值(Value at Risk,VaR)、期望损失(Expected Shortfall,ES),以及基于t-GARCH模型的VaR值、ES值计算方法,运行实证研究,并通过所建模型计算出的VaR值、ES值对沪深股市风险进行了分析比较。
This paper mainly introduces the Value at Risk (VaR) and Expected Shortfall (ES) of risk management tools in financial markets, as well as the VaR, ES value calculation and operation empirical research based on the t-GARCH model Through the model calculated VaR value, ES value of Shanghai and Shenzhen stock market risk analysis and comparison.