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The Empical Recearch of Security Market with VaR Risk Management Approach

Author: DuJinZuo
Tutor: YangKeLei
School: Tianjin University
Course: Technology Economics and Management
Keywords: Value at Risk financial risk risk measurement risk management
CLC: F830.91
Type: Master's thesis
Year: 2007
Downloads: 556
Quote: 3
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Abstract


Value at Risk is a new approach for measuring and managing financial market risk, which developed from resisting the series of large financial disaster in the 1990s. Considering the combination of current position’s portfolio risk and asset relativity, the approach describes the financial market risk effectively with only one figure. Today, many financial regulative institutions of the world, including BCBS, FRB, SEC and banking supervision institutions of EU, use VaR as a benchmark for risk measurement and management. At the same time, most financial institutions and investors with large financial risk source also use VaR as the fundamental risk management approach.Nowadays, with the joint to international situation, our financial market would meet large amount of financial risk any time. However, our financial risk management system is not perfect enough where there are so many problems needing to solve, no matter from the theory or from the actual operation. If we could use this approach of financial risk management——VaR,which authorizes and popularizes in the whole world, the risk resistant ability of our financial institutions will improve definitely. In addition, using VaR is also beneficial to the supervision and control of our financial regulative institutions.The dissertation describes the general theory of financial risk management at first, which is the basic of VaR and its application. Secondly, the dissertation describes the VaR approach from all aspects, including fundamental elements, typical calculating methods, verifying techniques and the risk component of portfolio. On the basic of the calculating methods, the dissertation uses the empirical analysis according to the original figures of our security market these two years. It turns out that VaR can measure the risk of China’s security market accurately in a certain confidence level. Besides, the empirical analysis needs some hypothesis because of the faultiness of our security market. In the final part, with the conclusion of the empirical analysis, the dissertation expects the application of VaR approach in the field of China’s financial risk management.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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