%0 Journal Article
%T Total-parametric Methods of VaR and Its Applications in Risk Management of Financial Market<br>风险价值的完全参数方法及其在金融市场风险管理中的应用
%A MA Chao qun {
%A }
%A LI Hong quan
%A XU Shang ying
%A YANG Xiao guang
%A LI Hui
%A <br>马超群
%J 系统工程理论与实践
%D 2001
%I 
%X 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.
%K Value-at-Risk
%K risk management
%K total-parametric method
%K financial market<br>风险价值
%K 完全参数
%K 风险管理
%K 金融市场
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=91306A3994EDD00D&yid=14E7EF987E4155E6&vid=659D3B06EBF534A7&iid=E158A972A605785F&sid=67969BA850333433&eid=9C65ADEB5990B252&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=14&reference_num=7