Font Size: a A A

VaR Technique And Its Application In The Securities Market Risk Management Of China

Posted on:2004-06-10Degree:MasterType:Thesis
Country:ChinaCandidate:J M ZhenFull Text:PDF
Abstract/Summary:PDF Full Text Request
In the last few years, how to manage financial risk efficiently has been paid attention to not only by investors but also by government supervisors. Risk management becomes the management focus of modern financial institution. The appearance of Value at Risk(VaR) method provided the technique aid for managing financial risk efficiently.VaR technique is a new risk management method that has been developed in 1990's. As a quantitative model to measure and control financial risk, compared with traditional models, it is easy to understand and apply so as to have more practical and referential significance. At present, VaR technique has become one of main methods to measure market risk, assess achievement and expose information in the world.However, mostly of domestic financial institution have applied traditional risk management models, such as Asset-Liability Management, the Capital Asset Pricing Model etc. Though, the sign indicates that some institution investors have applied VaR technique, none of these exposes VaR information of their holding assets.Stock market is one of important components of the whole financial markets. Its severe volatility and large transaction volume make itself to be leading role in financial market. The Stock Market of China has only ten-more-year history, it is in the earliest developing phrase and in the complicated or mercurial risk environment. So it is more important to pay attention to risk management and controlling.So this paper is about that how to apply VaR method as a new risk management efficiently in our country. In the paper, firstly, I systematically introduce VaR technique's conception, model systems and calculating methods. Secondly, on the basis of the former article, I compare VaR technique with traditional risk management technique, then carry out further qualitative discussion about its detailed application in risk management, and also summarize some question of measuring market risk with VaR. Finally, I relate The Securities Market of China to discuss the necessity of controlling risk and the significance of introducing VaR technique. I also choose first open-end funds and market index as empirical object to test, and I draw a conclusion that it is workable to manage or control market risk with applying VaR technique in domestic securities market now.
Keywords/Search Tags:Market Risk Management, Value at Risk, Investment Funds
PDF Full Text Request
Related items