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The Research On Market Risk Management In Investment Bank

Posted on:2005-09-10Degree:MasterType:Thesis
Country:ChinaCandidate:D LiFull Text:PDF
GTID:2156360122987657Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The theme introduces the basic theory, main model and technique of modernfinancial risk management comprehensively, and try to use the popular technique ofmeasuring the financial risks -VaR model to carry on the positive research to themarket risk management of investment bank of our country, the paper provides aneffective approach for the risk management of investment bank of our country. The theme firstly makes the statement from the main risks, developingmechanism and particularity faced to investment bank in China, then after studies theadvanced theory and technique of foreign investment banks, some importantrevelations are achieved for securities company of China. On the following, themethods of measuring market risk are specially discussed including the principal,method and supplement of VaR, the application of financial engineering in riskmanagement is studied at the same time. Selecting the composite index of Shanghai and Shenzhen Stock as researchobject, the theme first uses RiskMetrics method that J.P Morgan Company putsforward to estimate the risk of stock market of our country, then, direct against thespecial circumstances that the stock market of our country possess the characteristicsof large fluctuating, peak, non-straight attitude and independent , use VaR methodbased on GARCH model to carry on the positive research to the stock market of ourcountry, because the ARCH model can describe the fluctuation characteristic infinancial variables, such as stock price well , so use ARCH model can improveaccuracy that predict notably, the result shows that compared with the RiskMetricsmethod, the method based on GARCH-M model describes the risks of Shanghai andShenzhen stock market effectively. At last , the urgent subject of risk management of investment bank in our countrythat should be studied is summarized .
Keywords/Search Tags:Investment Bank, Market Risk, Vaule-at-Risk, GARCH Moel
PDF Full Text Request
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