Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index
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...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20220/ |
| _version_ | 1848792038068191232 |
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| author | YU, Yang |
| author_facet | YU, Yang |
| author_sort | YU, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:38:03Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20220 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:38:03Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-202202018-04-23T05:38:47Z https://eprints.nottingham.ac.uk/20220/ Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index YU, Yang 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. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20220/1/06MAlixyy13.pdf YU, Yang (2006) Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index. [Dissertation (University of Nottingham only)] (Unpublished) "Value at risk" EWMA GARCH Historical estimaiton |
| spellingShingle | "Value at risk" EWMA GARCH Historical estimaiton YU, Yang Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index |
| title | Value-At-Risk: Effective and Accurate Risk
Management of China's Stock Index |
| title_full | Value-At-Risk: Effective and Accurate Risk
Management of China's Stock Index |
| title_fullStr | Value-At-Risk: Effective and Accurate Risk
Management of China's Stock Index |
| title_full_unstemmed | Value-At-Risk: Effective and Accurate Risk
Management of China's Stock Index |
| title_short | Value-At-Risk: Effective and Accurate Risk
Management of China's Stock Index |
| title_sort | value-at-risk: effective and accurate risk
management of china's stock index |
| topic | "Value at risk" EWMA GARCH Historical estimaiton |
| url | https://eprints.nottingham.ac.uk/20220/ |