A Study On The Measurement Of Market Risks In Chinese Stock Market

This paper first introduces the traditional method of measuring risk in financialmarkets, such as: Mean-Variance method, Sensitivity method, then raises VaR theorythis modern risk measurement method, and points out its advantages. This papersystematically introduces varieties of theoretical methods of calculating VaR, andthey can be divided into parameter method, the semi-parametric method,non-parametric method, includes both variance-covariance method, the historicalsimulation method, also includes the GARCH model method, the EVT extremevalue theory method, also includes CVaR method which is the improved version ofVaR and more superior than VaR.At the same time, this article also introduces StressTesting and Back Testing which need to be used in concert with VaR method.Inaddition, this article also presented the new concept of MVaR, CVaR, and IVaRwhich is stretched out by the application of VaR in the field of portfolio.Next, this article selects several VaR methods, which are representative andeasy to implement, to do the empirical study on the Chinese stock market. First, thispaper uses several simple VaR methods, the family of GARCH model method basedon different distributions, and CVaR method to measure and test the csi300index.Then, uses the method of decomposition of portfolio VaR to two stockportfolio on the Shenzhen stock market, and calculate the corresponding MVaR,CVaR, and IVaR, and illustrate the application of these extension concepts for VaR.In every part of empirical research, this paper draws some useful conclusions on therisk condition of China’s stock market.