极端情况下对我国股市风险的实证研究

Abstract

Abstract: Accurate measure of risk is a prerequisite for effective risk management and a basis for investors to make rational decisions, but the traditional method of calculating VaR is invalid when extreme events occur frequently.Luckily, extreme value theory can solve this problem effectively. Risk measurement of China's stock market against the background of subprime crisis is studied. Considering the extreme co-movements and impacts, extreme value theory and POT model are used to fit the tail distributions of daily returns of Shanghai Composite Index, and then calculate VaR and CVaR. By comparing the risks before and after the crisis, it is shown that with the advent of the financial crisis, risks in China's stock market have been released to a certain degree.

Key words: extreme value theory, POT model, VaR, subprime crisis

CLC Number:

F830.9

WANG Yi-xin, ZHOU Yong. The Empirical Study of China’s Stock Market Risk in Extreme Situations[J]. Chinese Journal of Management Science, 2012, 20(3): 20-27.

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The Empirical Study of China’s Stock Market Risk in Extreme Situations

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