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留学生市场风险管理硕士论文-市场管理风险模式-Value-at-Risk based on Management of Market Risk using RiskMetrics

论文作者:留学生论文网论文属性:硕士毕业论文 thesis登出时间:2012-02-28编辑:anterran点击率:3712

论文字数:54621论文编号:org201202281038281642语种:英语 English地区:英国价格:免费论文

关键词:Risk measurementRiskMetricsMethodologyMarket RiskValue-at-Risk

摘要:提供留学生市场风险管理硕士论文-市场管理风险模式-Value-at-Risk based on Management of Market Risk using RiskMetrics

Value-at-Risk based on Management of Market Risk usingRiskMetricsTutor:
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Table contents

1 Background 3
1.1 The need for Risk Management 3
1.2 The study of the VaR all over the world 4
1.3 The outline of the report 5
2 The overview of VaR 6
2.1 The history and development of VaR 6
2.2 The characters of VaR 7
2.3 The application of VaR in the market risk management 7
3 The method to calculate VaR in RiskMetrics 9
3.1 The main VaR models 9
3.2 The RiskMetrics model 10
3.3 RM1996 and RM2006 13
4 The analysis of an experiment 16
4.1 Model checking 17
4.2 Data and results 17
Conclusion 22
Reference 25

 
Introduction
There are various types of risk, such as credit risk, financial risk and market risk. Market risk is the focus of this paper. It is a potential that the value of an investment will decrease due to moving into market factors. For example, the unexpected changes in market prices results in uncertainty of future earnings. In order to minimize market risk, risk management is necessary (Alexander, 2002).
In history, there have burst out many financial crises in the world, such as Mexico crisis, South-East Asia crisis, and the new 2008-2009 global crisis. As the influence of these crises, many corporations have gone bankrupt. Risk management has become one of the key competitiveness of the industrial and commercial enterprises and financial institutions.
The foundation of risk management is to measure the risk. As a tool of risk measuring and management, Value-at-Risk (VaR) technique is widely used. Many financial institutions and non-financial firms nowadays publicly report VaR is a risk measure for potential losses. Internal uses of VaR and other sophisticated risk measures are on the rise in many financial institutions (Hari, 2004).

1 Background
1.1 The need for Risk management

Reference

Alexander C, (2002). The handbook of risk management and analysis, The handbook of risk management and analysis.

David P and Kevin D, (2006). After VaR: the theory, estimation, and insurance applications of quantile-based risk measures, CRIS Discussion Paper Series.

Glyn A, (2002). History of Value-at-Risk: theory and practice, California: Academic Press.

Hari P, Dinesh K, and Julius A, (2004). Value-at-risk systems and their application in integrated risk management, Journal of Academy of Business and Economics.

Hull J, (2007). Risk Management and Financial Institution, Upper Saddle River: PEARSON Prentice Hall.

Jorion P, (2006). https://www.51lunwen.org/riskmanagement/2012/0228/1038281642.html Value at Risk, New York: McGraw-Hill.

Longerstaey J, (1996). RiskMetrics Technical Document. New York: Martin Spencer.

Schmidt A, (2005). Quantitative Finance for Physicists, San Diego: Elsevier Academic Press, pp: 121.

Stulz R, (2002). Risk Management & Derivatives, Mason: South-Western, a division of Thomson Learning.

Szil´ard P and Kondor I, (2008). Evaluating theRiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets, Budapest.

Thomas J and Neil D, (1996). Risk measurement: an introduction to value at risk, University of Illinois at Urbana-Champaign.

 

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