Portfolio Risk Utilising a Value at Risk Methodology Dissertation

Portfolio risk of exposure Utilising a Value at Risk methodological analysis - Dissertation Examplemy gratitude and thanks to my supervisor Tony Hall and course leader Jason Law whose insight and go showed me the right path and guidance to complete this project. My acknowledgment would not be complete if I little girl to thank other tutors and classmates who were the source of learning and enjoyment throughout my stay at the university. Table of contentTable of Contents6CHAPTER 18INTRODUCTION TO CHINA S note MARKET81.1 Introduction8CHAPTER II121.2 impart Market Development from 1922121.3 Institutional Facts well-nigh the Chinese Stock Industry121.3.1 Stock market expression 121.3.2 Share structure 131.3.3 giveors 141.3.4 Listing and de-listing141.3.5 Trading mechanism161.4 Value at Risk 171.4.1 Definition of Value at Risk181.5 Existing Approaches in Value at Risk Estimation211.5.1 Traditional Historical Simulation211.5.2 Variance-Covariance Approach231.5.3 GARCH vex Building Approach251.5.4 Monte Carlo Simulation25Chapter 328Value at Risk Methodology28Introduction281.2 Portfolio VAR311.3 Historical Simulation331.4 Monte Carlo Simulation341.5 VAR Strengths and Weaknesses35CHAPTER IV37DYNAMIC CORRELATOIN OF CHINESE logical argument374.1 Introduction374.2 Data and Descriptive Statistics 404.2.1 The Data404.2.2 Summary statistics414.3 The high-power Correlation Coefficient Model454.4 Empirical Estimations48CHAPTER V51CONCLUSION51Effects of policy change51Conclusion53CHAPTER 1INTRODUCTION TO CHINA S STOCK MARKET1.1 IntroductionWith Chinas rapid transition to a novel economy, all of its business sectors and industries are undergoing dynamic changes. A substantial amount of working capital is demand by business firms, and economic suppuration in China demands rapid advancement of capital...With Chinas rapid transition to a modern economy, all of its business sectors and industries are undergoing dynamic changes. A substantial amount of working capital is required by business firms, and economic development in China demands rapid advancement of capital markets. In retrospect, the first stock in China, Shen BaoAn, was issued in 1983. By then China had no securities exchange, and stock avocation activities were operated virtually underground (Chen and Sun, 2003). It was three years later, on September 26, 1986, that the JinAn Business of CICB Shanghai Trust and Invest Company began to trade its stocks over the counter. Nevertheless, the local secondary market trading was still unofficial and unformed (Gordon and Li, 1991). After several years effort and a learning period, the Shanghai Stock Exchange and Shenshen Stock Exchange were formally established on December 19, and December 1, 1990, respectively.Since their establishment in the early 1990s, create Chinese stock markets have received a great deal of attention from both domestic help and international practitioners and researchers. The main reason for this is that, before 198 2, the Chinese economy was a central planning dodge in which no private business was allowed, and there was no market-oriented banking system. The constitution Act in 1982 lift the ban on private business activities (Shirai, 2002), allowing a large number of state-owned enterprises (SOEs) and banks to be privatized and incorporated.