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YU, Yang (2006) Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Managing risks has always been an integral part of financial institutions. The financial

markets are characterized by a greater uncertainty, which is referable to the increasing

volatility of the interest and exchange rate, and to the high fluctuations of the share

quotation. At the centre of recent interest of risk management is an approach so called Value at Risk (VaR). In the past few years it has been accepted by both practitioners

and regulators as the right way to measure risks. As a result, the concept of Value at

Risk (VaR) which originated in the 1980s with investment banks that were attempting

to quantify potential losses on their daily trading portfolio-is becoming increasingly

popular. With the development of modern capital markets, China has set up its own

stock exchange and is still in its infant. In this respect, this dissertation is dedicated to

explain how to estimate VaR of Chinese Stock Index by using the there main

approaches (EWMA volatility approach, GARCH approach and Historical Simulation),

and their own advantages and disadvantages are presented in theory. Then Backtesting

is conducted to test which approach is more accurate in VaR estimation.

Item Type:	Dissertation (University of Nottingham only)
Keywords:	"Value at risk", EWMA, GARCH, Historical estimaiton
Depositing User:	EP, Services
Date Deposited:	13 Apr 2007
Last Modified:	23 Apr 2018 05:38
URI:	https://eprints.nottingham.ac.uk/id/eprint/20220

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