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A Comparative Study of Chinese stock market risk measurement methods

Author: GaoKaiMin
Tutor: TanXiangYu
School: Chongqing Technology and Business University
Course: Statistics
Keywords: Market Risk VaR CVaR
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 94
Quote: 0
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Abstract


After summrizing (reviewing) the histery of 90th’global financial development,it is not difficult to feel the power of the financial innovation pushing the financial market’booming,but the lag of the risk controlling relatively neglected by our financial institutions,causing serises of financial events.And the disabled supervision are the direct reasons to the native and global economic fluctuation.Especially the 2009’s financial storm from the U.S.A , the scholars and the governments reached agreement that the governement of the U.S.A the financial storm was powerless to supervise the native financial risk,which was the main reason to direct to the storm.So how to build an strong risk systerm to stabilize the native financial market,even the global market, becomes an inevitable issue for the governments and different degrees of financial institutions.The stock market is the main department in financial market, called‘Economic indicator’,and it is in the position of leading role in the management of financial risk. In contrast with stock market in developed countries,Chinese stockmarket is still in the early stages of development after 20 years. And people become to realize the importance of the financial risk after The huge undulatory property.Planing to control the financial risk effectively,financial institutes in the developed countries carried out extensive and in-depth exploration of it, so the system of the risk was built, which is divided into 3 Parts.And the method raised from the J.P morgan,the VaR,is the most highlight,which is the standard method of different financial institutes. In contrast with the traditional qualitative risk management,The VaR method is easy to control,which method is more practical and more significative in investment.The scholars from different countries have studied the different financial markets and financial products using VaR and CVaR,and this paper tries to find the most suitful model of Chinese stock market in VaR and CVaR.Firstly,the paper introduces the basement theory and method of the VaR and CVaR,and the quality of the related distributions,in order to understand the basement knowledge.Secondly, after describing the history of the chinese stock market in great detail ,this paper decides the range dimension of the data based on the character of stock market.Then I defines the ration of stock price and examine the probable distributions of the stock price.Then Using the the history method,GARCH methods and the Monte Carlo methods to calculate the stock price ration’s VaR and CVaR.The last I contrast the veracity with the CVaR and the VaR,using failure ratio testing and the failure function testing.

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