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Research On Risk Measurement Of Chinese Stock Market

Posted on:2018-12-14Degree:MasterType:Thesis
Country:ChinaCandidate:C D WangFull Text:PDF
GTID:2359330515474929Subject:Finance
Abstract/Summary:PDF Full Text Request
Under the background of the economic globalization,especially under the impact of the international financial crisis,China's stock market has shown unprecedented volatility.This volatility increases the uncertainty and risk of the stock market,not only affects the normal operation of the financial market,but also has a negative impact on the stock market regulators and investors.Therefore,it is very important to find a scientific method to measure the risk of the stock market in order to stabilize the market risk and reduce the negative effect.However,with the continuous development of financial market and the continuous innovation of financial products,the impact of market risk on financial risk is becoming more and more obvious.As a kind of high income investment products,investors will inevitably face a variety of risks,and bear the risk of economic losses caused by.Therefore,it is of great theoretical and practical significance to scientifically measure the risk of China's stock market,to understand the mechanism of risk,and to predict the trend of risk change,and then to put forward the risk aversion proposal.A lot of methods about financial market risk measurement,Va R model can effectively reduce the management of the huge number of derivative financial instruments trading inconvenience,also can make full use of statistical techniques and related theories of market risk measurement.At present,the Federal Reserve,the European Central Bank and the bank for international settlements as the main representative of the banking sector,the scientificity and accuracy of Va R method in risk measurement and prediction of the research and the application is approved,and advocate the method of Va R,and VaR as a new risk measure and management methods,in-depth exploration and research.The financial market in general is worth.It is out of this understanding,this paper uses Va R method,tries to establish a single stock portfolio,and the stock market index volatility model,respectively measure the market risk,one is applied to validate the Va R model,and the measure is facing the current stock market risk,and visual display.The general idea of this paper are as follows: firstly,the general framework of this study,mainly on the background,main contents,research background,research purpose and significance are expounded,combing the relevant research on dynamic field.Secondly,focus on risk management of financial market,analysis of the traditional,early and modern risk management theory,describes the typical characteristics of emerging market stock and market transition,and the applicability of the Va R model are analyzed in detail.Again,the main tool of the stock market risk measurement Va R model in-depth analysis and research,this paper mainly analyzes the basic elements of estimation and model validation and calculation methods,and then sort out the suitable calculation method of this study.Then,we select the data of daily yield of China's Pingan,Guotai Junan and Guizhou Moutai three stocks,as well as the corresponding portfolio and the stock market index,and with the help of Va R model,to calculate their risk.Finally,from the point of view of regulators and investors,the paper puts forward some policy suggestions on how to manage and avoid the risk of stock market.The main conclusions of this paper are as follows: compared with the single stock portfolio,the market risk can be reduced,and the Va R model can predict the market risk of a single stock,portfolio and market index.In this study,the typical stock market risks are measured and visualized,which is of great significance to the risk management of the regulators and the investors' investment decisions.
Keywords/Search Tags:Stock Market, Investment Portfolio, VaR Model, Risk Measurement, Risk Management
PDF Full Text Request
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