An Research On CVaR Financial Risk Measurement Based On GARCH Model

Since the 1990s, along with economic globalization and deregulation of the finance in the world, the financial derivative market developed rapidly. It provides hedge instruments to participants, at the same time, it becomes a root that results in high fluctuation in financial markets, which occurred to increase the complexity of risk management. Financial risks management is a hot topic in financial instituations, academia, and financial supervisors for recent years. Risks measurement is the core of effective risks management. Therefore, it is significantly important to study risks measurement in the background of financial globalization. Reasonable risks measurement is fundamental for China's risk management study, as well as China's finance development and financial markets construction.This paper is divided into 5 chapters. First chapter system analysis domestic and foreign theorists to financial risk measure research present situation, the integrity has grasped the financial risk measure method research domestic and foreign front tendency, it have studied this question to lay the solid foundation thoroughly. Second chapter first has conducted the classified research to the financial risk, the union data analysis West developed country and our country finance risk management could not satisfy with the money market steady, the high speed development present situation. Then through the comparative analysis five finance risk measure method, as a whole analyzed the risk measuring technique developing process. Third chapter through VaR and the CVaR contrast analysis, CVaR aspects and so on method parameter choice and computation has conducted the detailed research,and analyzed the CVaR risk measuring technique merit, then constructed VaR and CVaR method based on the normal distribution, the T-distribution and the GED distribution GARCH model race calculates.Fourth chapter through uses the GARCH model and the EGARCH model obtains the Shanghai copper stock returns ratio the undulation rate, then calculates based on three kind of distributed VaR and the CVaR values. The real diagnosis has studied under different distribution supposition VaR and CVaR in the risk measure fit and unfit quality, it constructed has measured the Shanghai copper futures market risk the optimized model - CVaR-EGARCH-GED model. The fifth chapter the mentality which further studied to the CVaR method has carried on the discussion, embarked from our country money market at present development condition, elaborated developed the risk management difficulty and the bottleneck in our country, thought our country should speed up the risk management construction, and how promoted to our country, put forward the feasible proposal using VaR and CVaR risk measure method.This paper place of innovation lies in,it attempt to apply a model that will give our country money market based on the general distribution and GARCH model under the race CVaR in the risk measure, and auxiliary by qualitative analysis, will carry on the measure and the research to our country money market risk.The real diagnosis result indicated that, our country money market easy to receive the accidental news the influence, is one of world undulatory property most serious markets, the market risk is very big, it established the more effective risk management system to our country's money market will be setted a higher request.