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Different Volatility Characteristics Of Financial Markets, Risk Measurement And Avoidance

Posted on:2004-07-02Degree:MasterType:Thesis
Country:ChinaCandidate:F LiFull Text:PDF
GTID:2206360122467159Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Financial risk is a property of financial system and financial activities, and people even compares it as a game which gains return at the cost of undertaking risk. So, the recognition of risk, risk measuring and risk management constitutes an aspect of what modern finance really mean. And it is the vital understanding to realize and capture modern marketAmong the different risks, financial market risk has a special status. Not only all the financial institutes must be exposed to it, but it is also the foundational reason resulting other risks. In recent years, the international financial market has changed very greatly, Financial globalization, liberalization, financing securitisation,etc. These trends have made global fluctuation of financial market aggravate constantly, and the risk structure that financial instruments contain is complicated day by day. Resultingly, financial time-series of market factor have its distinct property. Such as, some financial time-series have a shape of " sharp waist and fat tail ", some appear to cluster and burst, some have a leverage effect, some come to a persistent fluctuation and some show a phenomenon of returning to mean value. So, how to measure these fluctuating properties pays an important role in measuring risk. And the special feature of this thesis lies in selecting and constructing models on the base of classifying financial time-series by Hurst exponent.This dissertation is organized in four chaptersChapter one of this paper introduces financial market risk. Consequently, this chapter studies its essence and pricing model. Moreover, it summarizes some main measuring methods those are popular at present.Chapter two focuses on analyzing the fluctuation of financial market Furthermore this part discusses different measuring methods corresponding to diverse fluctuating properties. Then, considering Hurst exponent and Value-at-risk together, this chapter provide a new measuring model. This model inherit the advantage of VaR measuring method, and it also considerate the chaos of time-series according to the essence of financial market risk. So ,it can measure the risk more scientifically and wholly.Chapter three selects 9 categories from ShenZhen stock market to test the validity of new model.Chapter four pay more attention to risk management. In order to manage financial market risk efficiently ,we should perfect the financial market, further develop financial engineering and strengthen financial supervision.
Keywords/Search Tags:Financial market risk, Risk management, Risk measuring, Value-at-Risk, Hurst exponent, AR-GARCH model
PDF Full Text Request
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