Which one is Better?-Risk Measurement Modeling on Chinese Stock Market
Measuring financial market risk plays a key role in financial risk management. Currently, the Value at Risk (VaR) and Expected Shortfall (ES) are two popular instruments for measuring financial market risk, and many methods have been developed for calculating VaR and ES. In this paper, we contrast with accuracy and efficiency of these methods through backtesting with Chinese stock markets data. By means of empirical analysis, we can conclude that: RiskMetrics method is not practical in Chinese market; EVT method can predict accurately risk value, but no efficiency; among these methods, only MGARCH-BEKK method is predominant in interpreting the risk characteristic of Chinese stock market, because this method can reflect precisely the volatility and time-varying correlation of Chinese stock market.
Risk Management VaR ES Backtesting
Yu Ziyou Tao Aiyuan
Department of Finance and Insurance,Lingnan University Hong Kong,China School of Finance,Shanghai University of Finance and Economics,China Shanghai Lixin University of Co
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
47-51
2008-06-01（万方平台首次上网日期，不代表论文的发表时间）