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The Application of VaR in Risk Management and Empirical Analysis

Author: WuJian
Tutor: FanXuQian
School: Jinan University
Course: Applied Statistics
Keywords: Financial Crisis Risk Management VaR GARCH Model GED Distribution Return Series of Indexes
CLC: F224
Type: Master's thesis
Year: 2013
Downloads: 37
Quote: 0
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Abstract


In the past two decades, the risk management as an independent field appearedon the world stage. It quickly caught the attention of the scholars and professionals inthe field of finance. The studying of it also has sprung up. Risk measurement as thekey part of risk management constantly gets the attention of the people. Also thestudying of the measurement method is constantly innovated. In the practical work,VaR (Value at Risk) is used as an effective method to measure risk.The VaR is the theoretical basis of contemporary risk management. Based onVaR method, this paper will analyze its application in the risk management, and carryon the empirical analysis on the Shanghai stock market.Firstly, through analyzing the causes of the financial crisis in2008and theconsequences of it we will put forward the importance of risk management. Secondly,risk and risk management will be briefly discussed, and further, the significance ofrisk measurement will be illustrated. Then, we will systematically discuss the VaRmethod and its application in the financial sector, including the applicable conditions,distribution hypothesis and model establishment, etc. Finally, we will use the modelof EGARCH (1,1)-GED to calculate the value of VaR on the benchmark Shanghaicomposite index and analyze the risk status of the Shanghai stock market.Through the above analysis, this paper will illustrate the effectiveness of VaRmethod in the aspect of risk measurement in China. In the using the VaR method, wewill study the characteristics of the data, and then choose the right model. Finally forrisk management in our country and the using of VaR method we will put forward thecorresponding suggestions.

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