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A Research on the Dynamic Correlation in Portfolio Risk Management

Author: ZhangRui
Tutor: WangChunFeng
School: Tianjin University
Course: Finance
Keywords: Portfolio Volatility Correlation High-frequency data DCC-GARCH Realized volatility
CLC: F830.59
Type: Master's thesis
Year: 2007
Downloads: 181
Quote: 0
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Abstract


Global integration of financial markets in recent years , the beginning of the explosive development of information technology , and financial derivatives , leading to unprecedented risks facing financial institutions to rapidly changing and intricate , effective financial risk management techniques on the survival of financial institutions , as well as a country's economic stability and even sovereign security is very important . The core technology of the financial risk management , estimates and projections of the volatility of assets , research in this area to become one of the hot issues of the recent years of academic research . This article focuses on considering the market risk in financial risk management , in-depth study of the core issues in this area - a combination of asset correlation estimates . Text is divided into four parts , the introduction ( Chapter 1 ) ; overview of relevant theory and market visits ( 2 to 3 ); dynamic correlation estimated comparative study ( 4 to 5 ) ; Finally, in the study , based on the conclusion of the full text is given . The details are as follows : Part I: Chapter 1 introduces the research background , research status and issues , as well as the content and structure of the framework of the article ; Part II: Chapter 2, in time for the context , starting from the Markowitz mean-variance theory discusses the history of portfolio theory and summarizes the recent development of the theory . Chapter 3, the Chinese stock market volatility visits this part first introduces the definition and measurement of fluctuations , volatility in the estimation and prediction methods described in chronological order , the last low-frequency and high-frequency data were used to inspect the status of the China market volatility . Part III: Chapter 4 first introduces the development of the combination of covariance matrix estimation method , on the comparison of the theoretical significance of the correlation estimate , prediction methods . Chapter 5 introduces volatility timing strategy , compare different estimation method actual economic significance . Part IV: Chapter 6 Empirical Analysis Based on the above results , given the conclusions of the full text .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Investment
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