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In the standard model based on VaR Equity Fund Risk Assessment Study

Author: PengWenZhi
Tutor: DongXiuLiang
School: Huaqiao University
Course: Finance
Keywords: Standard Equity Fund VaR GARCH Mean-VaR model Monte Carlo Simulation
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 72
Quote: 0
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Abstract


The past 20 years , financial market risk into a global financial institutions and regulatory authorities focus. At the same time , risk measurement techniques are also increasingly becoming the object of study , including VaR technique has also been recognized as authoritative and quantitative analysis. VaR models in financial risk management more widely, especially with the VaR model of continuous improvement, not only used in the financial institution's market risk , the risk of quantitative research, but VaR model is a linear programming model (LPM) and nonlinear programming model (ULPM) other planning model theory , organically combine to determine the financial institutions, market risk and other best quantitative analysis, in order to facilitate financial institutions to potential risk controls for optimal decision . This article then describes the risk management VaR method definition , calculation and application , which details the variance - covariance method , historical simulation , Monte Carlo method and GARCH models and historical simulation and GARCH models empirical applied for estimating China Select Fund strategy 90% confidence level VaR. From the practical application can be seen , GARCH model can better simulate the return series of distribution , so it VaR level of estimated compared to historical simulation method is more accurate. Additionally, this article focuses on the technology of VaR in portfolio risk management application . In Markowitz 's mean -variance model , based on the VaR applied to the theory of optimal portfolio can be converted to the next in a given VaR maximize gains or minimize a given income under the VaR. This paper selects the Fund's China strategy selection data as samples were mean-VaR Empirical Analysis of the optimal portfolio . Our country VaR model introduction began in recent years , with more research, but the VaR model applications can now really in its infancy, the financial institutions have been fully aware of VaR merits being studied for its own operating characteristics of the VaR model . Through the introduction of this article I hope to give VaR technology in the application of risk assessment funds to bring a better understanding .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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