A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches
With the continuous development of the Chinese Emerging financial market, numerous global investors have been paying great attention on this young market. The Chinese financial market holds its own characteristics, distinguishing from the developed financial market. Thus, by the stake of the investo...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26667/ |
| _version_ | 1848793222033178624 |
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| author | ZHOU, Mengjia |
| author_facet | ZHOU, Mengjia |
| author_sort | ZHOU, Mengjia |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | With the continuous development of the Chinese Emerging financial market, numerous global investors have been paying great attention on this young market. The Chinese financial market holds its own characteristics, distinguishing from the developed financial market. Thus, by the stake of the investors, it is necessary to understand the Chinese financial risk and explore the effective risk management approaches. In the current field of quantitative risk management, Value-at-Risk is the most recognised and widely implemented methods among financial institutions, companies and private organisations. Abundant researchers have been evaluated the linear instruments but the limited works concern non-linear instruments. The objectives of this paper are two folds. First, it will invest a UK portfolio and one Chinese portfolio and collecting data from the real trading markets. Second, the two typical portfolios include linear instruments and non-linear instruments. The normal delta approach is not suitable because it may underestimate or overestimate the portfolio P/L. The Historical Simulation method, Monte-Carlo simulation method and Quadratic model approach are implemented for the risk estimation. Each method will be backtested to further verify its accuracy. |
| first_indexed | 2025-11-14T18:56:52Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26667 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:56:52Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-266672017-10-19T13:32:55Z https://eprints.nottingham.ac.uk/26667/ A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches ZHOU, Mengjia With the continuous development of the Chinese Emerging financial market, numerous global investors have been paying great attention on this young market. The Chinese financial market holds its own characteristics, distinguishing from the developed financial market. Thus, by the stake of the investors, it is necessary to understand the Chinese financial risk and explore the effective risk management approaches. In the current field of quantitative risk management, Value-at-Risk is the most recognised and widely implemented methods among financial institutions, companies and private organisations. Abundant researchers have been evaluated the linear instruments but the limited works concern non-linear instruments. The objectives of this paper are two folds. First, it will invest a UK portfolio and one Chinese portfolio and collecting data from the real trading markets. Second, the two typical portfolios include linear instruments and non-linear instruments. The normal delta approach is not suitable because it may underestimate or overestimate the portfolio P/L. The Historical Simulation method, Monte-Carlo simulation method and Quadratic model approach are implemented for the risk estimation. Each method will be backtested to further verify its accuracy. 2013-09-20 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26667/1/Dissertation_2.pdf ZHOU, Mengjia (2013) A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches. [Dissertation (University of Nottingham only)] (Unpublished) Chinese emerging financial market Value-at-Risk methods non-linear instruments Historical Simulation method Monte-Carlo Simulation Quadratic model approach Backtesting |
| spellingShingle | Chinese emerging financial market Value-at-Risk methods non-linear instruments Historical Simulation method Monte-Carlo Simulation Quadratic model approach Backtesting ZHOU, Mengjia A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title | A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title_full | A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title_fullStr | A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title_full_unstemmed | A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title_short | A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches |
| title_sort | comparison of chinese and uk portfolios using value-at-risk approaches |
| topic | Chinese emerging financial market Value-at-Risk methods non-linear instruments Historical Simulation method Monte-Carlo Simulation Quadratic model approach Backtesting |
| url | https://eprints.nottingham.ac.uk/26667/ |