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The Measurement Methods Of Financial Risks And Its Application In China

Posted on:2003-11-15Degree:MasterType:Thesis
Country:ChinaCandidate:H J ZhangFull Text:PDF
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Risk measurement is the basis of financial risk management. Therefore, with risk measurement as the basic concept and market risk and credit risk as the objects of study, the dissertation discusses, systematically, the concepts, methods and models about risk measurement in western developed countries. In light of market risk, there are sensitivity measurement method and volatility measurement method as well as the concepts about risk measurement, such as Variance, Duration, 3 -coefficient, 5 -coefficient and Value at Risk. And in light of credit risk, there are accounting-based ratio measurement method and volatility -based measurement method, as well as the related concepts, such as Credit Rating, Z-score, Transition Matrix, Expected Default Frequency. On the basis of these concepts and measurements, it explores the conditions and key technologies for their employment in the risk management, and points out their deficiencies and prospects for development. Furthermore, in view of the applied scope of the various risk measurement methods, the dissertation, proceeding from China's reality, discusses their present situation, deficiencies, difficulties and measures for improvement. With regard to the risk measurement methods already in application, the dissertation points out the gap between developed countries and China, and explores the specific measures for improvement; with regard to the risk measurement methods applicable and to be applied, it analyzes their feasibility and difficulty in application and provides concrete methods and procedures for China's financial market; with regard to infeasible measurement methods, it discusses the conditions and key technologies, shows their prospects and the urgency of time, and analyzes the measures and macro financial environment of China's risk management.
Keywords/Search Tags:volatility, duration, β-coefficient, value at risk, credit rating, transition matrix, expected default frequency
PDF Full Text Request
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