Portfolio Management Analysis Based On Crash Coefficient

After long-term research and evolution,financial market risk measurement has finally formed a simple and practical new method,the VaR method,which can measure the complex portfolio of different market factors and different financial instruments and the overall market of different business units.Risk exposure.However,domestic and foreign scholars have shown that the distribution of risky securities yields has a thick tail characteristic.The risk measurement based on the standard normal distribution of the VaR method does not apply to the thick-tailed distribution of risky securities yields.With the increase of the number of extreme fluctuations in the market,more and more scholars believe that the risk measurement in the extreme case of thick tail distribution is very important.Therefore,this paper establishes a crash model,studies the extreme fluctuations of the market,and compiles the crash coefficient.To compensate for the insufficiency of the VaR method to measure the extremes of the market.This paper adopts literature induction method,case analysis method,qualitative and quantitative method,through the calculation of each component of Shanghai and Shenzhen 300 Index to obtain their own crash coefficient,and uses empirical analysis method to construct hedging based on crash model.Combine and use the crash coefficient to evaluate fund performance.The article constructs a portfolio containing call options,and uses the BS model and the crash model to price the constructed portfolio.The pricing difference between the two models is the risk value of the portfolio when extreme changes occur,and uses the crash model to the portfolio.Hedging ultimately reduces the risk value of the portfolio.Construct the Treynor ratio and Jensen alpha indicators based on the crash coefficient and compare them with the traditional fund performance evaluation indicators.The results show that the crash coefficient can be used as a supplement to the beta coefficient and become a measure of market risk in the event of market collapse.When the market encounters extreme fluctuations,the crash model can be used to measure the maximum loss that the portfolio may suffer.The introduction of the static hedging method for the hedging of the portfolio can enable investors to reduce losses in the event of market collapse;the Treynor ratio and Jensen alpha indicators based on the crash coefficient can be used as a supplement to the traditional fund performance evaluation indicators,empirically showing that the tradition The Treynor ratio and Jensen alpha indicators are significantly different from the Treynor ratio and Jensen alpha indicators based on the crash coefficient.When evaluating the fund performance,the Treynor ratio and Jensen alpha indicators based on the crash coefficient are taken into account,and the fund can be more comprehensively measured.Performance,giving investors more information about the fund.Adding a crash coefficient structure indicator to evaluate the fund’s performance can more fully consider the impact of the fund when extreme volatility occurs.