Assessing the Performance of Value-at-Risk Models in Chinese Stock Market

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Assessing the Performance of Value-at-Risk Models in Chinese Stock Market

In this paper, parametric, nonparametric, and semi-parametric models are applied to a hypothetical portfolio - Shanghai Stock Exchange Composite Index to estimate Value-at-Risk in Chinese market. In order to assess the performance of different approaches, the statistic features such as kurtosis, ske...

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Bibliographic Details
Main Author:	Lin, Lin
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2008
Subjects:	Value-at-Risk parametric model non-parametric model extreme value theory back-tests
Online Access:	https://eprints.nottingham.ac.uk/22277/

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