摘要
本文在对VaR方法的分析的基础上 ,选择了GARCH模型度量证券投资基金的风险 ,并计算了样本期间 2 2只基金的VaR值 ,在此基础上给出了各基金对应的RAROC值 。
This article selected VaR-GARCH model based on the evaluation of kinds of Value-at-risk models,and measured the VaR of the securities funds in the estimates.According to the VaR of each securities funds,we give the evaluation of each securities fund by using RAROC measuring,and analyzed the conclusion.
