Study Of EVT-Based VaR And CVaR Of Market Risk Management Of Securities Company

This dissertation introduces the basic theory of risk income and risk management,and studys the risk analysis and risk management of the business of the securitiescompany. Extreme value theory and GARCH model are applied to the demonstrationof VaR and CVaR of financial market risk. At last a CRM system is designed basedon the data mining technology of multi-agent. The main content is as follows:1. Introduction: the research background is presented, survey of recentdevelopment is made, and the main content of the dissertation is as follows.2. Risk analysis and management of securities company: the risk source andfactors of the business of consignment business, brokerage business, self-employmentbusiness and assets management business are in detail analyzed.3. Risk income and risk management theory: the modern risk managementtheory and models, specially the VaR-at-Risk (VaR) syetem are introduced.4. Study of VaR and CVaR based on extreme value theory: the extreme valuetheory (EVT) and the new method of risk measurement CVaR, and demonstrationwith the securities index are introduced.5. Study of VaR estimation of stationary return time series: the EVT model isextended to stationary time series, and extreme index is employed to eliminate thelocal correlation of the extreme value.6. Study of VaR estimation based on GARCH model and EVT: GARCH modelis used to analyze the volatility clustering phenomenon in the return ratio series. Asfor the random component in the model, normal distribution, t-distribution andgeneralized Pareto distribution assumptions are applied, respectively. Best result isobtained based on the generalized Pareto distribution assumption for the randomcomponent in the GARCH model.7. Customer relation management of securities company based on data miningtechnology: the CRM system based on data mining technology of multi-agent isdesigned, and the structure and operation of the system is detailed. Finally, the dissertation is fully summarized and some futher intersets arepresented.