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Parametric and Nonparametric Approaches to VaR Calculation and Its Application in China Stock Exchange Market

Author: LiuLinChun
Tutor: ZhouShaoFu
School: Huazhong University of Science and Technology
Course: Quantitative Economics
Keywords: Value at Risk Historical simulation method Semi-parametric method Non-conditional test
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 375
Quote: 2
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Abstract


The VaR risk valuation model (Value at Risk) referred to , is the rise in recent years, foreign financial risk management tools , intended to estimate a given financial product or combination of possible or potential loss of future asset price volatility . VaR concept is simple , but it is a measure of a statistical problems with the huge challenge . VaR calculations , Western scholars have conducted in-depth discussions . In recent years, domestic scholars have also begun to introduce VaR risk analysis tools , and theoretical issues related to do a preliminary study . Emerging risk of VaR measurement model based on the research of scholars at home and abroad , a comprehensive and in-depth elaboration , and emphasis on the use of the relevant data of China's securities market in China's stock market risk measurement , VaR risk measurement model specific the application made ??an empirical analysis aimed at finding a set in line with China's national conditions Securities Market risk measurement system operability , so as to promote the healthy development of China's securities market . VaR is a basis for financial risk management tools . The definition of VaR is the maximum expected loss at a given confidence level and target periods . This article will briefly introduce the five VaR parameters and non-parametric estimation method and its advantages in the practice comparison . Then , our empirical analysis of statistics utility for Shanghai, China 's stock market index of above five methods . Then, the VaR method selected this two equity portfolio in the Shanghai market index prediction and testing . Finally, we come to the historical simulation method always get the best predictor of test results . But on the basis of the volatility model , we need to make better improvements parametric methods .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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