Optimizational Research On Market Risk Control Of ZY Company's Private Securities Investment Funds Based On VaR

In this thesis,ZY Company has been taken as the main body for case study.By analyzing the operating environment of ZY Company,a conclusion has been reached that the key to the development of ZY Company lies in improving the ability to control the risks.The risks confronted by ZY Company have been further evaluated and market risk has been identified as the principal risk.Based on the features of VaR method,it is preliminarily suggested to utilize the VaR model to optimize the existing market risk control mechanism of ZY Company from the theoretical level.VaR is further tested to measure the effectiveness when applied to assess individual stock and portfolio tail risks in China's A-share market.Resorting to the retrospective testing,after obtaining theoretical basis and empirical test data,a research has been conducted to study the methods and effects of VaR model when employed in real investment.Pleasant effects have been achieved when applying the VaR model to raise the investment portfolio risk-return ratio and control the maximum drawdown of investment portfolio.With sufficient empirical test,a specific optimization plan was proposed,based on the test conclusions and the deficiencies in ZY Company's market risk control mechanism,including using the VaR model to improve the accuracy of ZY Company's market risk measurement,to adjust the investment portfolio to increase the portfolio risk-return ratio,and to limit the portfolio risk exposure to control the maximum drawdown of the portfolio along with other optimization suggestions to improve ZY Company's market risk control ability.Aiming at providing solutions to specific business problems,the research conclusion plays a practical role in helping ZY Company to improve its market risk control ability.There have been some rough edges in this thesis,such as only taking the domestic stock market into consideration in the empirical test and the effectiveness of the very three basic VaR calculation methods in the empirical test is compared.Multiple choices,remaining unanalyzed and tested fully,are available when it comes to the practical investment application of VaR and optimization methods of investment portfolio.It is expected that this thesis could not merely help ZY Company to improve its market risk management ability and corporate competitiveness,but also provide a reference for market risk control in the industry as well as propel the progress and development of the private equity industry.