Money Market Fund Risk Measurement

DOI

10.2991/icemc-16.2016.230How to use a DOI?

Keywords

VaR; Money market fund; GARCH

Abstract

This paper use VaR to measure the risk of money market fund. And VaR has many methods to calculate, this paper choose only one method which is more appropriate to our money market fund. First part is background and meaning, point out the importance of risk measurement. Second part is about past research of risk measurement in domestic and oversea. And then present VaR, include theory and method, and choose the appropriate method to calculate VaR of sample money market fund. After empirical analysis, found that VaR is appropriate to money market fund.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xue Zeng
PY  - 2016/05
DA  - 2016/05
TI  - Money Market Fund Risk Measurement
BT  - Proceedings of the 2016 International Conference on Education, Management and Computer Science
PB  - Atlantis Press
SP  - 1195
EP  - 1202
SN  - 1951-6851
UR  - https://doi.org/10.2991/icemc-16.2016.230
DO  - 10.2991/icemc-16.2016.230
ID  - Zeng2016/05
ER  -