Dissertation > Excellent graduate degree dissertation topics show

La-VaR Portfolio Risk Management Based on the Correlation between Market Risk and Liquidity Risk

Author: LiangZuo
Tutor: WangChunFeng
School: Tianjin University
Course: Management Science and Engineering
Keywords: Risk Management Liquidity Risk Market risk Relevant structural relationships Copula function La-VaR
CLC: F830.91
Type: Master's thesis
Year: 2007
Downloads: 279
Quote: 1
Read: Download Dissertation

Abstract


Liquidity is the lifeblood of the securities market is a mature capital market is one of the important symbol . If the market because of the lack of liquidity and lead to difficult to complete the transaction , then the market will lose the basis for their existence . For the above reasons , Amihud and Mendelson pointed out that \Due to the fragile nature of liquidity , liquidity risk become an important risk risk management issues can not be avoided . Liquidity risk research also become a hot spot of today 's academic research . This article is from the perspective of risk management , asset liquidity risk management issues were discussed . This chapter broadly divided into three parts: Liquidity Risk Overview ( 1 to 2 ) ; liquidity risk management empirical studies ( 3-5 ); Finally, the full text of the conclusions is given on the basis of the above study , and future outlook . The details are as follows : Part I: Chapter 1 introduces the research background , question , Research article content and structural framework ; Chapter 2, an overview of the liquidity risk , liquidity the definition of the commonly used methods of risk measurement and liquidity risk , liquidity risk characteristics and its influencing factors were introduced and summarized . Part II: Chapter 3, liquidity risk and market risk metrics research , this chapter focuses investigated the distribution of liquidity risk and market risk characteristics and accurately measure how appropriate method according to its characteristics , for behind research laid the foundation ; Chapter 4 in the study on the basis of the previous chapter , liquidity risk and market risk in the case of a single asset structure relationship modeling, and research in accordance with the relevant characteristics of the single- asset risk management issues ; 5 the chapter discusses the structural relationship of the risk of cross-asset market , and in Chapter 4 of liquidity risk and market risk structure of the relationship between the introduction of the asset portfolio to achieve the integration of risk management of the portfolio market risk and liquidity risk . Part III: Chapter 6 Empirical Analysis Based on the above results , the full text of the conclusions is given , and future research directions .

Related Dissertations

  1. Study on Development Risk Analysis and Management of Urban Commercial Residence,F293.35
  2. Open pit production accidents studied because of the risk management measures,TD771
  3. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  4. The Competition Management System of Harbin 24th Winter Universiade 2009’s Risk Management,G812.2
  5. The Innovative Study Based on the Equity Financing of Forest Management from the View of Sustainable Development,F326.2
  6. Offshore oil platform construction phase Operational Risk Management Research,F426.22
  7. Chemical Industrial Park Environmental Risk Management Technology Source,X327
  8. A Construction Project Owner Risk Management Research,F284
  9. Study on Ecosystem Risk Management of Coal Mine Based on Fuzzy Cognitive-map and Stakeholders’ Participation,X322
  10. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  11. Research on Risk Management of Shenyang Yuanda Internal Curtain Wall Project,F426.92
  12. The Compliance Risk Management Study of the Rural Financial Institutions,F832.35
  13. New Basel Capital Accord and Commercial Bank Risk Management,F832.2
  14. Research on the Information Risk Management of the Credit Cooperatives of Shandong Online Banking,F832.2
  15. The CD Commercial Bank IT Risk Management,F832.2
  16. Reseaching on Using of Credit Derivatives of Our Country,F224
  17. The Reform Direction of Baselii Accord under Subprime Crisis and the Inspiration to China,F832.1
  18. Research on the Evaluation and Model of Apparel Supply Chain Risk for Apparel Manufacturing Enterprises,F274;F224
  19. The Research of the Risk Management during the Project of Acrylic Acid in Huayi Corporation,F426.72
  20. Improvement of Laws on the Risk Control of Credit Card Fraud,D924.3;F832.2
  21. Research on Internal Control of X State-owned Grain Enterprise,F324.9

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
© 2012 www.DissertationTopic.Net  Mobile