Brokerage Asset Management Business, Market Risk Measurement And Management

Seeing that asset management department of security company don't understand the concept of modern market risk management well, Most securities companies basically havent set up modern risk management departments and haven't master the theory and the method of modern risk management systematically, on the one hand this thesis devote to introduceing the theory, model and technical method of modern market risk measurement, on the other hand it tries to set up a market risk management system for securities company based on VaR Method. Eecept for exordium this paper is divided into four parts:Firstly, this thesis introduces the basic concept and connotation of risk and market risk. It illustrates the basic process of market risk management over all which consists of the discrimination of market risk, the measurement of market risk, the sensitivity analysis of market risk, extreme value analysis of market risk, the treatment and the inspection of market risk. Afterwards it analyzes the necessity that the asset management department of security company carries out market risk management and it also analyzes the current situation of market risk management of management department of security company.Secondly, this thesis evaluates some main theories and method about market risk measurement. Such as Mean-Variance criterion of Markowitz and Risk decentralization principal, Single-factor model, Multifactor model, Down-risk model, Black-scholes model and VaR model based on the calculation of loss. It also discusses the suitable conditions and defects of every theory and method, and think that VaR is a more perfect method for risk measurement by comparison.Thirdly, this thesis discusses the producing background and basic concept of VaR risk control technique, moreover detailedly introduces the computational method of VaR and the adopts measuring technique on market risk to analyze the market risk which asset management department is faced in demonstration, finally it recommend the method of risk capital allocation based on VaR detailedly.Finally, it discusses the construction of market risk management system for securities company and analyze the construction of organizational system, functionalsystem and information managing system for market risk management.