| Risk refers to the uncertainty of future earnings, and financial risk refers to changes in the portfolio of financial variables caused by the uncertainty of future earings. We are concerned about the potential risk of loss, and thus the concept of risk can be expressed as " a result of the uncertainty brought about the possibility of loss".With economic globalization and integration of financial markets, financial markets have become increasingly complex. How to manage financial risk effectively is an important thing.Research shows that the time series of financial asset yields have spikes tail characteristics which does not follow a normal distribution. In order to estimate the financial risks properly, we use the GARCH family model and select the data on the closing price of the Shanghai index January 2 in 2004 to December 31 in 2013. We analyize the GARCH family model based on normal distribution,t distribution and GED distribution and calculated CVAR and VAR, and we obtain the following conclusions:Shanghai stock market yields have spikes tail features.The results which is based on GED distribution results is better than the results based on normal distribution and t distribution. With the increasing of confidence level,The results which is based on normal distribution always underestimate the risk. The results which is based on t distribution always overestimate the risk. CVAR is accurately when measure the extreme losses in the event of failure compared with VAR, and CVAR is able to cover a wider range of tail risk measure of risk indicators.When financial assets yield correlation is not significant, CVAR and VAR at the same time satisfy sub additivity, but CVAR makes the sub-additive effect more obvious.The innovation of this paper is applied to the measurement of risk in financial markets, as well as model-based family model of (the Shanghai Composite Index), supplemented by qualitative analysis, to measure our financial market risks and research. |
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