On Measurement Of Security Portfolio Market Risk

The essence of security portfolio risk is the indeterminacy of the security value movement. Market risk is the important one among all kinds of risk. From the point of financial asset value movement's statistics, the paper analyses statistical characters and methods of security portfolio market risk, such as Geometrical Brownian Motion, Stochastic Wandering Model, and Normal Distribution, which depict the motion of stock's price. The paper indicates fluctuation and relativity are issue of statistical object. The paper analyses three main theories: Markowitz's portfolio Selection Model, Sharpe's Capital Asset Pricing Model, Black and Sholes' Option Pricing Model. Besides, the paper also studies Duration-Convexity theory. All these models and theories provide important methods for measurement on security portfolio market risk. Especially the paper studies the Value-at-Risk (VaR) theory. VaR has two calculative methods: parameter method and simulative method. Both have advantages and disadvantages. The paper studies not only VaR calculative formulas under the yield of portfolio obeying Normal Distribution, but also conversion of VaR under different standards. Combined with stress testing, which is the efficient supplement of VaR, VaR's practical value can be greatly improved. VaR is not a insular method, it can combines with other models, for example, the paper gives a Markowitz's Portfolio Selection Model under VaR restriction.Aiming at Chinese actual situation, the paper studies a Markowitz's Model, which can be used to measure conservative investors' portfolio market risk. The paper puts forward a efficacy curve of security portfolio, and analyses the risk's measurement when holding a optimal security portfolio. The paper studies the risk structure of Chinese security market, and points out it is a faint efficient market, stock market has no character of stochastic wandering, and systemic risk has a high proportion in total risk, security market can not provide efficient serial time data, which leads to some obstacles to measure risk, besides, yield of stocks has a 'heavy tail' character. VaR and stress testing model can measure this tail risk, therefore, combined with Delta-Method, VaR is the efficient model that can be applied to measure Chinese security portfolio market risk. Chinese security market has a high systemic risk. The reason lies in those stock companies have a illogically capital structure, especially the irrational stock capital structure is the root of security market risk. So, it is essential for these stock companies to regulate their stock capital structure in order to improve the accuracy and confidence level of measurement ofChinese security portfolio market risk.