The Distribution Characteristics And Risk Analysis On Yield Rate Of Securities Market Industry

In the securities market,the logarithmic yield is an important indicator of financial asset or portfolio investment behavior and risk management.VaR(Value at Risk)and CVaR(Conditional Value at Risk)of the logarithm yield of securities portfolio are all used to describe the investment risk in the securities risk management.VaR is a kind of widely used tool to measure the market risk and it is viewed as the cornerstone of market risk measurement.It can measure the market risk level conveniently and concisely,and gets more and more applications by the financial regulators and participants.The distribution of financial yield sequence is critical to the VaR calculation.In order to meet the demands of theoretical research,people often assume that the logarithmic yield is obey the normal distribution.But many studies have found that the logarithm yield of securities market does not obey the normal distribution.It has the characteristics of sharp peak,thick tail and skewed.This makes the assumption exist a big error,and the parameter estimation exists bias too.Researchers try to fit the real logarithmic yield distribution using the skew distribution,including deflection logistic distribution,skewed t distribution,skewed normal distribution,etc..There are still insufficient researches on the distribution of the securities industry.Researchers did not use a variety of methods to estimate the risk value and did not use a variety of methods to estimate the risk value neither,it makes the study has limitations.This paper tests and analyzes the week logarithm yield of all the 18 industries of 2014 all industry stock classification.It explores the distribution characteristics of stock week logarithm yield,and estimates the industry risk based on the parameters and nonparametric methods.Conclusions include:(1)the specific distribution of different industries the logarithmic rate of return is not the same;(2)nowadays some popular industries such as real estate risk will be relatively large;and with the development of social economy,people’s material life,accommodation and catering industry risk is relatively low.The stock market conforms to the trend of social development,but also reflects the real social dynamics;(3)parameter estimation and nonparametric estimation(order statistics rounding method,kernel density estimation method)risk map is similar to the trend,higher risk and lower risk are also similar.It is shown that the three methods are effective for describing the risk trend.But in the value,there are differences,there are errors.The risk estimates can be used in parameter estimation or nonparametric estimation of a general trend which can get the risk,but to a comprehensive risk analysis,to comprehensive use of three methods,in order to improve the accuracy of risk estimation.