VaR Model Investment Allocation In China Security Market

Chinese securities market is booming rapidly in past two decades. But the deal category, trade method and the derivatives transactions still has a large gap with international capital markets. The high speculative and bubbles of stock price block the investment of this market. As a consequence, risk measurement is particularly important for the investment in Chinese securities market.VaR, as a popular risk measurement reference, is using by various financial institutions and financial regulators. The reference has the advantage on only one value can reflect all market risk produced by various factors bore by the whole portfolio, and, it is predictly in some degree. This thesis based on the normal distribution model calculation of VaR as the indication of risk judgment, using every day as a trading position, assuming that both the confidence level(0.9 and 0.99), based on China's securities market from 2011 to 2015, the Hushen 300 index fund and the national debt index, total 1218 groups of actual samples data, and carry on the empirical analysis. According to VaR control, put forward two types of varied with time series investing strategies. Then, this thesis calculated the benefit during 2011 to 2015 under these two strategies with two confidence levels, and, compare and analyze the difference under these strategies and confidence levels with single static investment. Risk degree is evaluated at the same time. Finally, though calculation, obtained the different investment options under differnet VaR control strategy of risk aversion of investors, give the related reference for the investor to choose and adjust the self-risk averse level(confidence level) and portfolio strategy in Chinese security investiment activitis.