Study On The Application Of VaR Technique In Stock Market Of Our Country

Under the influence of factors such as economic globalization and finance integration, competing and relaxing control and finance innovation and technological progress, and so on, global financial environment and financial market have changed greatly. Meanwhile, the fluctuation of the financial market and system risk are aggravated greatly. Risk management has become one of the key competitiveness of the industrial and commercial enterprises and financial institution. The foundation of risk management is to measure the risk. As a new tool of risk measuring and management, VaR technique is used widely since it was born, and has already become the major technique to measure market risk abroad at present. The stock market of our country have developed more than 10 years, much successful experience has already made, but there are a lot of unripe and nonstandard aspects. So the stock market of our country often fluctuates radically, and the market fluctuation is far higher than the western ripe stock market of developed country. Because the stock market of our country is at a specific developing stage at present, it is imperative to strengthen risk management. So, VaR model has a great meaning to the risk management of stock market of our country. This text mainly discusses the application of VaR technique in three respects of stock market of our country: First, apply VaR technique to measure the market risk of the index of stock market and certain stock. Take the calculation of VaR of Shanghai synthesis index as an example, the text calculates the VaR of Shanghai synthesis index using four kinds of GARCH models (GARCH, TARCH, EGARCH and PARCH) in normal distribution, t distribution and generalized error distribution (GED), respectively. The result indicates, t distribution is not suitable for the stock market of our country since over-evaluating the risk greatly; the GED measures the market risk more accurately than normal distribution; PARCH model under the GED has the best result in calculating the VaR of the Shanghai synthesis index under the confidence of 99%. Second, apply VaR technique to the security investment fund of our country. This part discusses that how to apply VaR to set the quota of the risk position of the fund, measure the risk of investment combination of the fund, appraise the performance of the fund and supervise the fund. Third, apply VaR technique to seasoned equity offerings (SEO) pricing. Via the analysis of the mechanism of SEO pricing and the pricing courses in practice, we find the prices of secondary market of these listed corporations with relatively rational SEO pricing may vary tiny in the period between the date of proclaiming the permission of SEO and the date of registering equity, after deducting the influence of the fluctuation of the whole market., vice versa. This conclusion is also sustained by the result of the empirical research. According to this criterion, we have chosen 36 listed corporations whose SEO's prices are set down relatively rational. By the technique of multiple regression, we found that there exists a negative relationship between SEO's prices of these corporations and the price of secondary market of the time of SEO's pricing, and there also exists a relationship of quadratic function taking the shape of the letter U between SEO's prices of these corporations and the market risk VaR which is calculated in the period between the time of SEO pricing and the date of registering equity.