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Risk Evaluation and Analysis of VaR in China’s Warrant Market

Author: MengYaLi
Tutor: FuQiang
School: Chongqing University
Course: Technology Economics and Management
Keywords: VaR Warrants Volatility
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 146
Quote: 0
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Abstract


The appropriate method of risk measurement to build an appropriate model is currently a hot topic in the field of financial research . VaR method is one of the financial sector is widely used to measure and manage financial market risk tools , the requirements of the Basel Committee , banks evaluate market risk capital adequacy ratio of the number of basis . Parametric method to calculate VaR a key point is how to accurately predict volatility . In the context of the rapid development of China 's warrants market for listed companies issued warrants systematic study investigated the basic situation of China 's warrants market risk and seek viable explanation . The first article in the review of our warrants market development , and then analyzes the various risks that exist in the market , the empirical research methods and the sampling carried out empirical research . August 22, 2005 to 2008 , according to the study period in this article are selected in the market on 19 warrants for samples , of which 12 warrants , seven put warrants . Analysis method to calculate the value-at-risk ( VaR ) of the three different volatility estimation method , and then compare the forecast performance . Volatility estimation method comparison with historical volatility , GARCH volatility and implied volatility , select Kupiec failure frequency test method to test the model . The study results showed that: the volatility , the average daily VaR value of the warrants is higher than the put warrants ; the warrants issuers warrants , GARCH volatility VaR model than the model of the implied volatility or historical volatility more accurate forecasts of market risk; issuer of warrants to subscribe and put warrants issued by the subject of the same stock , can produce the effect of risk diversification , reduce losses , so we recommend choosing the confidence level of 99% under the conditions GARCH estimation method of analysis methods to measure the market risk of the warrants . Finally , according to the analysis process , we combine the status quo of China 's warrants market policy recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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