Financial Risk Measurement With The Comparision Approach

The operation of financial markets is a complex systematic engineering. In the financial markets, risk exists objectively. Risk may cause huge economic losses to the people, therefore risk management has become objective needs of the countries, enterprises and individuals.Risk management is the main topic of the financial engineering. In the recent 30 years, financial engineering has shown more and more closely relation to modern financial practice. The international financial markets have developed and many kinds of financial innovations have been come up continuously. In order to measure and compare the risk of all kinds of financial products, which reflects the attitude of the market participants towards risk, there emerge a lot of risk measures in each domain, and the measure of the risk is so blur that it often has the different meanings in the different financial areas. Based on the primary achievements of the risk management, this dissertation mainly attacks the following problems:1. The importance of financial risk management, especially the key effect of risk measurement in risk management is addressed. Some earlier risk measurement methods are discussed by comparison. The respective traits, difference and relation between them are also explained. Furthermore, the axiom system of risk is shown and the axiomatized criterion of general financial risk measurement is proposed. Therefore, various risk measurement can be brought into this uniform framework to discuss.2. Aiming at derivative security with nonlinear payment function and the"fat tails"in the financial data, we induce the definitions of VaR in chapter 5 and discuss its characters from both the cash value and the returns ratios as a random variable. Moreover, we deliberate the algorithm of VaR in detail and the advantages & disadvantages of the various algorithms.3. Making the 20 weeks returns ratios (from November 14, 2005 to April 7, 2006) of the debt index of Shanghai security, the ingredient index of Shenzhen security as a sample, and make the empirical analysis to the commonly using risk measure method, such as variance, LPMs ,VaR . When the confidence is 70%, model VaR has highest efficiency, model LPM 2 is the second and Markowitz's mean-variance model is worst.4. Based on the axiomatized criterion of general financial risk measurement...