Research On Risk Measurement Of VaR Insurance Stock Based On GARCH Model

Accompanied by an increase in the cost of living and pressure,the future residents of the insurance awareness will be more and more strong,commercial insurance will continue to dominate the mass market consumer groups.In recent ten years,our country insurance company in the number will continue to increase,scale expands day by day,its business development momentum and our market economy development speed fit.From the 2007 China Life in the A-share market listed at the beginning of,listed insurance companies in a number of very growth,people’s acceptance for insurance products is also increasing,investors for insurance stocks are more optimistic,but is insurance stocks due to the particularity of the valuation of the insurance products,can’t use the traditional measurement Index to select,causing great distress to investors.Due to the international financial crisis in 2008 and 2015 under half of the stock market crash,to the vast number of investors caused great losses,the amplification of the Chinese stock market system construction is not perfect,so the financial risk measurement has become the core of the financial market risk management,I hope through the establishment of appropriate risk measurement methods to deal with the financial market risks continue to covert and complex challenge.I hope this article on the GARCH family model measuring Insurance Stock Volatility Based on combined with the international general VaR method,calculated in a certain confidence level investment insurance Insurance stocks of the maximum potential loss,for the vast number of insurance stocks investors in the vagaries of the stock market risk environment to provide a reference.VaR method to dynamic analysis method,by estimating the rate of return sequence of conditional variance to calculate the estimated value,due to the financial market yields are usually present thick tail distribution lead to VaR in risk underestimated the situation occur from time to time,but GARCH model can better fit yields the dynamic characteristics such as non symmetrical features,clustering effect,so in recent years,academic circles in the parameters of the fitted var the t distribution,GED distribution of GARCH model calculating the volatility parameters based on.The whole thesis is divided into six chapters.Chapter one introduces present situation about financial risk of domestic and foreign scholars,the master of the research on the financial risk at home and abroad the latest developments,to lay the foundation for the follow-up study of the subject of surveillance;in the second chapter,firstly introduces the basic concept of VaRtheory,and then expounds various var calculation method,including risk measurement system,quantile estimates and extreme value theory and so on.The third chapter first introduces the background and arch model the definition and properties of arch model proposed.Second,by introducing the relevant theory of GARCH model and the extended GARCH model and its test method for Introduction.In chapter four,by using GARCH(1,1)model and the EGARCH(1,1)and extend the model to an empirical study on China Life of daily logarithmic return rate,and then fit the most appropriate model GARCH(1,1)-M model.Chapter five in GARCH(1,1)-M fluctuation rate measurement model on the basis of construct GARCH VAR model of China Life of daily logarithmic return rate were measured,and compared the result with traditional VaR method to measure the extreme value theory approach to measure,the failure rate of test method that GARCH var than VaR.sixth chapter first describes the development and application of VaR in the chapter of the system,and then from the two angles of investors and regulators to further research and put forward feasible suggestionsThe innovation of this paper lies in the fact that in the measure of insurance stocks potential losses try combining GARCH models and VAR model,hope with GARCH model calculation of VAR model volatility parameters,instead of using traditional extremum method.Empirical results show that,based on VAR GARCH M model value than extreme value theory is adopted to calculate the VaR value.It indicated that the traditional var calculation method in a certain extent underestimated the insurance risk of stock market,on China’s securities market insurance stocks investors judgment facing their own investment risk put forward higher requirements.