Which one is better? Risk measurement modeling on Chinese stock market

Ziyou YU, Aiyuan TAO

Research output: Book Chapters | Papers in Conference ProceedingsConference paper (refereed)

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.
Original languageEnglish
Title of host publicationProceedings of The International Symposium On Financial Engineering And Risk Management 2008
PublisherUniverse Academic Press Toronto
Pages47-51
Number of pages5
Publication statusPublished - 1 Jan 2008

Bibliographical note

Paper presented at the International Symposium on Financial Engineering and Risk Management, Jun 08-10, 2008, Shanghai, China.
ISBN of the source publication: 9780978348465

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  • Cite this

    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). Universe Academic Press Toronto.