An Analysis And Management Based On VaR Method To Measure The Securities Investment Risk

The subprime crisis happened in American 2008 leads to an huge storm of finance in wall street, which also pushed the risk management become the tip of the topic. In the same time, this finance storm also brought out the profound influence to our country, let us to rethink about this crisis and inspected ourselves internal. How to prevent and control the finance crisis has become one of the most important research topic for us.The development of Chinese securities market is less than 20 years, compared with the Western stock market which is over hundreds years of development. Chinese securities market is far from mature which is not sufficiently standardized. Therefore, in such a situation, the risk management theory which developed in the westen securities market has some issue about adaptability in the chinese securities market. This is also one of the significance of this study.Generally speaking, this study is facus on the following three questions. First, how to prevent and reduce investment risk of securities; second, the applicability of the portfolio theory in the chinese securities market; third, the rationality of the GARCH model in chinese securities market.For the first question which is how to prevent and reduce the investment risk of securities. Firstly, this study makes the whole analysis of the risk and risk management of securities investmen analysis, which focuses on the bond investment risks and risk management including the specific induction of the bond investment risks and risk management methods. Secondly, this study also analized the specific methods of portfolio theory including the specific studies of assets based on Markowitz model design, considering transaction costs and the minimum trading volume of investment options, capital asset pricing model.For the second question which is the applicability of portfolio theroy in the securities market in China. Based on the capital asset pricing model, using the data from the SSE 50 Index in 2010, this paper makes the statistical analysis of risk investment of securities in Shanghai Stock Market in 2010 which includes two aspects:on the one hand, is the Risk composition analysis of the 2010 Shanghai Securities market. on the other hand. is the authentication of the correlatione between the risks and benefits. Through the research, this paper gets the conclusion that firstly.in the 2010 Shanghai stock market.the risk structure of investment has been significantly changed, the risk of non-systematic risk in the total proportion is 67.4%, systematic risk accounts only 32.6%. secondly, through the correlation between risk and return test results, we can obtained the conculsion that the risk and return have a positive correlation, but do not meet the the expected linear relationship of capital asset pricing model. Non-systematic risk has a greater impact on the stock market.For the third question, which is about the rationality of the GARCH model in chinese securities market. Based on the latest data of shanghai index, national bond index, corporate bond index.this study makes the study of the volatility of shanghai securities and the basic statistical analysis.Combined with the Shanghai Composite Index,this paper builded the GARCH model and makes the calculation of VaR based on the GARCH model. Through research, this paper gets the conclusion that the series of the Shanghai index's rate of return is stable, has low autocorrelation and conditional heteroscedasticity, therefore, the series meet the hypothesis of the GARCH model. Through the failure rate test, this paper has proved the applicability of the GARCH model in the shanghai security market.