Modern Risk Measurement And The Relations Between VaR And ES And Fiscal Variables

In the background of the financial globalization, financial risks management is a hot topic for recent years. So, how to measure these financial risks is a problem need to be solved firstly and urgently.In this paper, we discuss each chief risk measurements systemically. Their properties and computation arithmetic are generalized, their economic implications are introduced detailed. Then the comparison between them on their advantages and disadvantages are discussed and some interesting results are obtained. These risk measurements set their bases on statistics and mathematical algorithms, combined with marketable movement. The main works of this paper are as follows: 1.There are some introductions on modern risk measurement. Each risk measurements'definitions, properties, calculation and appraisement arithmetic are introduced; especially some innovations are made on ES and spectral risk measurement's properties and calculation. 2. There are comparisons and analyses on modern mainly risk measurements. 13 stocks are selected from Shenzhen stock market in 2002 by clustering analyzing method, and calculate VaR and ES by historical simulation. We validate some of theirs properties and the relation between VaR and ES. Furthermore, We validate the coherence of the solutions to the efficient portfolio based on Variance, VaR and ES separately under the assumption of the normal distribution. 3.Advance some hypotheses on the relations not only between fiscal variables and VaR but also between fiscal variables and ES. We select 151 stocks'datum in Shanghai stock market from Jan. 2001 to Dec.2002, calculate VaR and ES by weighted historical simulation. 9 fiscal variables that reflect the corporation's characteristic are selected and 7 hypotheses are advanced based on the fiscal theories. Covariance between VaR and fiscal variables and between ES and fiscal variables and linear regressions about VaR and linear regressions about ES on 9 fiscal variables are calculated to verify the hypotheses. At last, we mentioned the directions of the further research.