Risk Analysis of Shanghai Stock Market and Shenzhen Stock Market Based on VaR Method
Feifei PEI
Kewen College, Jiangsu Normal University, Xuzhou, 221116, CHINA
Abstract: Along with various financial tools and financial derivative springing up, Chinese stock market has been developed for several decades. These changes not only bring huge investment opportunities to investors but also enable investors to face enormous risks. Especially in recent years, Chinese stock market has expe-rienced several abnormal abrupt fluctuations, therefore investors worry the risk of investing in Chinese market is too large and the risk will continue to rise. This paper is based on VaR method to measure quantitative risk by banks and other financial institutions. This paper selects History Simulation Method and Variance Cova-riance Method of VaR method, and adopts Shanghai and Shenzhen 300 indexes as analysis indicators of risk. Finally, this paper calculates the VaR value of Chinese stock market and concludes that the risk does not show a rising trend. The suggestions of policy are also presented in this paper.
Keywords: VaR method; Market risk; History simulation method;Variance covariance method