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CHEN Rui-gang, YANG Xiao-guo. The Calculation of VaR Based on FMHJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2003, (1): 84-86.
Citation: CHEN Rui-gang, YANG Xiao-guo. The Calculation of VaR Based on FMHJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2003, (1): 84-86.
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The Calculation of VaR Based on FMH

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  • The author estimates some parameters of fractional Brownian motion under the hypothesis that a capital market is a fractal structure.Assuming that security price is subject to fractional Brownian motion,we explain parameters;meaning of the model and show how to calculate var of a portfolio describing quantitatively the exposure of assets to market risks.
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