Risk Contribution of Different Industries in Chinas Stock Market -Based on VaR and Expected Shortfall
Risk adjusted performance measurement for a portfolio involves the calculation of the risk contribution of individual assets in this portfolio. We employ five industrial indices in Shanghai Stock Exchange to construct an equal-weighted portfolio, calculate the risk contribution of different industrial indices to the whole portfolio and analyze the industrial risk characteristics in Chinas Stock Market. Our empirical study shows that the risk contribution of Real Estate Index seems to be smaller than other four industrial indices. However, compared to Hong Kong market, the difference of various industrial indices risk characteristics in China is inconspicuous, suggesting that it is hard to diversify the risks and reduce extreme losses through choosing proper stocks in certain industries.
value-at-risk expected shortfall tail risk risk contribution.
FAN Guobin ZENG Yong WONG Woon K
School of Management and Economics, University of Electronic Science and Technology of China, P.R.Ch Bristol Business School, University of the West of England
国际会议
威海
英文
526-533
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）