Chinese Real Estate Market Risk Measure by Value-at-Risk: an Empirical Study on Real Estate Market of Beijing and Chongqing

Yang, Yunhan (2013) Chinese Real Estate Market Risk Measure by Value-at-Risk: an Empirical Study on Real Estate Market of Beijing and Chongqing. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Purpose – The purpose of this article is introducing a quantified risk assessment use in real estate for forecasting mark risks from a macro view, and applies it in real market to give suggestions for investors and government. Early studies of real estate investment market are focus on finance productions, such as property trust, real estate stocks. This article tries to outline the whole real estate industry’s risk level.

Design/methodology/approach – The article presents an idea borrow from Value at Risk (VaR). VaR is a classic quantified risk measurement. This design will find the relation between property industry’s developments and macro factors, such as GDP, population, as risk factors. Through Monte Carol simulation, gain the volatility of each risk factor and forecast real estate industry’s loss-VaR.

Empirical research findings – The empirical research is compare the property market risk between Chinese first-tier cities (Beijing as sample) and second-tier cities (Chongqing as sample) through the VaR method in real estate market. The result show both real estate markets of first-tier cities (Beijing) and second-tier cities (Chongqing) are safety for investor.

Practical implications – VaR as a risk measurement of finance production, it is also can apply in other industries.

Keywords: Real estate, Market risk, VaR

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 28 Mar 2014 16:45
Last Modified: 23 Oct 2016 00:33
URI: http://eprints.nottingham.ac.uk/id/eprint/26819

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