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The Measurement Of The Stock-jobbing Value At Risk And Its Study Of The Combining Optimization

Posted on:2006-06-21Degree:DoctorType:Dissertation
Country:ChinaCandidate:Y C LiuFull Text:PDF
GTID:1119360185477835Subject:Pattern Recognition and Intelligent Systems
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With the deepening of global economics integration, investment free port and financial innovation, the financial magnate's volatility and risk are also increased. The financial risk management has become the most important question which is the financial policy and the investor are facing. VaR, that is Value at Risk, as the main way to analyzing, measuring and preventing the financial risk. It is a kind of management way which has just come out to measure the financial risk in the world. It offered us a modern management theoretical conception and thinking. VaR is the method of converting many unmeasurable subjective factors into objective probability numeral value using mathematical statistic and measuring technology. This made the risk obvious and convenient to be managed and controlled. The conception of the VaR is simple, but its measurement is a challenging statistic question.The article describes the original, definition, types and the basic theory of the financial risk management. And also gives an illustration about modern risk management, it contains main model, method and technology. It makes further discussion about the theory of portfolio selection and combination evaluation. It offered the possible developing tendency of the future financial management. The main studies contain:(1) The article summarized the definition of the risk from international different research fields at present. It induced seven theory opinions and criticized the different theories and depicted the amount. Now the research has no integrated definition to the contents of the risk. For the different risk source and different risk management goal, different research scholars have different risk measuring methods from the understanding level and studying angle to the risk. The summarizing to the kinds of theories has reflected the people's understanding to the risk incessantly deepen and to be perfect. From the existing risk definition, we emphasize the character of investment risk in the stock investment field. And probe the inherent quality of the risk. It points out that VaR will be more comprehensive and reasonable.(2) It studies the basic quality of the profit order of stock market in China. It uses SAS and S-plus statistic software to test the relative profit distribution of normal, autocorrelation, heteroskedasticity and independence in common distribution Shanghai stock market. The analysis to the example and result expresses that the profit order has obvious normal character in China stock market. And independence in common distribution hypothesis has been rejected. And the profit order distributes like sophisticated top and thick bottom and has obvious autocorrelation among the order.(3) It establishes the basic conception and theory analysis frame of VaR. It gives...
Keywords/Search Tags:Value-at-Risk, risk management, parametric estimation, nonparametric estimation, back-testing, multi-indicator composite evaluation, portfolio selection, membership function, fuzzy model
PDF Full Text Request
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