Which one is better? Risk measurement modeling on Chinese stock market
Document Type
Conference paper
Source Publication
Proceedings of The International Symposium On Financial Engineering And Risk Management 2008
Publication Date
1-1-2008
First Page
47
Last Page
51
Publisher
Universe Academic Press Toronto
Abstract
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 market's 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.
Additional Information
Paper presented at the International Symposium on Financial Engineering and Risk Management, Jun 08-10, 2008, Shanghai, China.
ISBN of the source publication: 9780978348465
Language
English
Recommended Citation
Yu, Z., & Tao, A. (2008). Which one is better? Risk measurement modeling on Chinese stock market. In Proceedings of The International Symposium On Financial Engineering And Risk Management 2008 (pp. 47-51). Toronto: Universe Academic Press Toronto.