Research On The Application Of Haircut-VaR Model In Consideration In Chinese Reform Of Non-Tradable Shares

Reform of non-tradable shares is an unique phenomena of China in the world. It means that there are two different kinds of stocks in the Chinese stock market. These two kinds of stocks formed such stock market system and structure that stocks have different prices and rights. This kind of system and structure has a great of disadvantages.Therefore,from 1999,the government of China has tried several times to solve the problem.After that,on April 29th,2005,the stock supervise committee of China promulgated a document to begin the pilot reform of non-tradable shares Officially.The focus of the reform of non-tradable shares is how to redeem tradable shares while non-tradable shares come into the stock market. The current circumstance of reform of non-tradable shares shows that the key word to solve the problem is consideration. Whether the consideration is reasonable or not is the sticking point of reform of non-tradable shares. So the research of consideration is very important for the current stock market.The thesis firstly analyses the background of the research——the general situationof the reform of non-tradable shares,its characteristics , content and effects ,etc. And this part of the thesis illuminates the theory foundation and significance. And then reviews and analyses the leading methods of the consideration,points out the limitation of the three leading methods,which shows the necessity of the research.Then, the thesis The third part of the thesis analyses the theory foundation and hypostasis of consideration, the characteristics and current blue prints of consideration .And it introduces the " Haircut - VaR "model that is widely used in the finance organization in the developed country based on which theorizes a model that is suitable for the reform of non-tradable shares.And then it shows the feasibility of the model. The fourth part introduces a typical case to simulate the calculation of its consideration in reform of non-tradable shares by the " Haircut - VaR "model,which shows the maneuverability of the model.