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论文作者:留学生论文论文属性:短文 essay登出时间:2011-03-08编辑:anne点击率:6434
论文字数:20288论文编号:org201103081450558702语种:英语 English地区:英国价格:$ 66
关键词:VARmarket riskrisk managementempirical analysis
Abstract:By the influence of economic globalization and financial integration, competition and deregulation and financial innovation and technological progress, and other factors, global financial markets occur the foundation and structural changes, The scale have rapid expansion, the efficiency improved clearly, At the same time, the volatility and systemic risks of financial market are also significantly increased, Financial risk from credit risk-based to market risk mainly-based, Financial risk management have英国风险管理毕业论文定制 change from the traditional risk management which see bank balance as the main business to a modern financial market risk management which see financial market fluctuations in prices as the main business. Risk management has become one of the core competitiveness of financial institutions and businesses, and the core content of financial Engineering and modern finance. Specific risk measure has change from qualitative analysis-based to detail quantitative analysis-based. Financial market risk management has become an important tool for risk measurement, evaluation, monitoring in developed country. Since the financial crisis in Southeast Asia, financial risk management get the general concern of all countries, many approaches of risk management have emerged. Risk value method of VAR is a new risk management tool developed after 1990’s. As a model of financial risk measurement and control, it is easy to operate, and have more practical and Reference value investment compare to the traditional financial risk management model. Currently, it has become a mainstream approach of the international market risk measurement, performance evaluation and supervision of information disclosure. For China, in the background of the growing internationalization of the economy, we need to introduce the method of risk management which is international general, in order to improve the supervision level. So introduce and promote the VAR method has important practical significance for Chinese financial institutions in strengthening risk management and improving the standard of regulation of regulatory authorities and achieve international operations. In this paper, we departure from the basic concepts of financial risk , financial risk types and financial risk management process and other related theories, make a detailed analysis of background and calculation principle of VAR model, analysis the advantages and disadvantages and assumptions and computational processes of each specific model. Then, we chose Shanghai Stock Index as object of study, make an empirical study of VAR on the application in China, calculate the estimate of VARiance-coVARiance method and historical simulation model, VAR estimated value of 95% confidence interval,and verified to its accuracy. The results show that it is effective to enterprise risk control and management in this measurement approach in our financial markets, and have important significance for our further explore. At the same time, through analysis the feasibility of the financial market situation and the implementation of VAR in China's financial market, this paper also made a preliminary discussion to the use of VAR method in financial risk management in China.
able of Content
Abstract
1. Introduction
1.1 Background And Significance
1.2 Research In China And Abroad
1.2.1 Research abroad
1.2.2 Research风险管理essay代写 in China
1.3 Research Question And Methodology
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