Font Size: a A A

China Investment Bank Market Risk Management Research Based On VaR Model

Posted on:2006-03-06Degree:MasterType:Thesis
Country:ChinaCandidate:Y M HanFull Text:PDF
Abstract/Summary:PDF Full Text Request
Risk is worth, that is to say, taking risk means obtaining a return and managing risk needs paying cost. The relationship between risk and return on the pricing of risk has been becoming the key parts of modern financial theory. Those theories such as CAPM, APT and the option pricing have contained plentiful basic thoughts on the analysis, pricing and management of risk and have become a stable theoretic foundation of the creation and development of modern market risk management.Firstly, based on Chinese investment bank business characteristics, this thesis introduces common methods in designing the function of the risk management department of investment bank, analyses several equity asset pricing methods, points the important function of asset pricing in market risk management. Secondly, this thesis makes a systematic study on the popular risk management model-VaR, and analyses the advantages and the shortcoming of several calculating methods about VaR model.Then, this thesis selects a suitable VaR to calculate the risk value of two market indexes and three stocks, and imitates the price fluctuating trend and achieves good results. Though it needs to improve the accuracy of the model's forecast, it will still act as a good tool for Chinese investment bank to measure and control the actual and potential market risk in business operation.
Keywords/Search Tags:Investment Bank, Market Risk, Risk Management, VaR
PDF Full Text Request
Related items