How is Value at Risk used to measure the China's stock market risk?

Tao, Ye (2007) How is Value at Risk used to measure the China's stock market risk? [Dissertation (University of Nottingham only)] (Unpublished)

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB) | Preview


With the rapid growth of the increasingly complex trading activities and financial market instability, there is a growing concern of financial risk management throughout the China's stock market. One widely adopted technique to manage risk involves the use of Value-at-Risk (VaR), which is known as the benchmark for quantifying market risk. In the past few years, it has been widely accepted by both practitioners and regulators as the right way to measure risks. The concept of VaR describes the loss that can occur over a given time horizon, at a given confidence level, due to exposure to market risk. However, the use of VaR as a risk measurement is just at the early stages in China's stock market. Thus, this dissertation is dedicated to explain how to estimate VaR of Chinese Stock Index by using the three main approaches (Historical Simulation, GARCH volatility model and Filtered Historical Simulation), and discuss their advantages and limitations as well. Backtesting is conducted to check which VaR forecasting model is more appropriate for China's stock market.

Item Type: Dissertation (University of Nottingham only)
Keywords: Value at risk
Depositing User: EP, Services
Date Deposited: 08 Apr 2008
Last Modified: 16 Sep 2016 23:55

Actions (Archive Staff Only)

Edit View Edit View