SUITABLE RISK MEASUREMENT OF CHINESE STOCK MARKET IN HIGH VOLATILITY PERIODS
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2018, Vol 2, Issue 1
Abstract
Chinese economy nowadays receives impacts from various economic activities internationally and accordingly the risk measurement and management system is worthy of discussion. In the past two decades, the VaR and ES have been widely introduced and discussed. However, in a recent consultative document, the Basel Committee on Banking Supervision suggests replacing Value-at-Risk (VaR) by expected shortfall (ES) for setting capital requirements for banks’ trading books because ES better captures tail risk than VaR. However, besides ES, another risk measure called median shortfall (MS) also captures tail risk by taking into account both the size and likelihood of losses. The study argues that MS is a better alternative than ES as a risk measure for setting capital requirements in China because: (1) MS is elicitable but ES is not; (2) MS has distributional robustness with respect to model misspecification but ES does not; (3) MS is easy to implement but ES is not.
Authors and Affiliations
Feitong Liu
Keywords
Related Articles
- EP ID EP411970
- DOI 10.26480/icefs.01.2018.06.12
- Views 67
- Downloads 0
SPATIAL DISTRIBUTION CONCEPT OF CULTURAL INDUSTRY IN LIXIAN COUNTY
As an important new force in economic development, cultural industry is a boost to the economy of Lixian County. To promote the development of cultural industry, spatial distribution is a key factor in it. Thus a proper...
ANALYSIS OF THE DIFFERENCES BETWEEN THE ART QUALITY EDUCATION MANAGEMENT SYSTEM IN CHINA AND RUSSIA
Russia’s art education in colleges and universities is globalized. Art education management system at the beginning of the establishment of higher education, its management system is constantly improving and maturing. Un...
RESEARCH ON CUSTOMER EXPERIENCE MANAGEMENT AND ITS IMPLEMENTATION FRAMEWORK
Customer Experience Management (CEM) is a new theory about customer relationship after customer satisfaction theory, aiming to provide personalized experience to customers, promote customer satisfaction level and bring p...
THE EFFECT OF ZHONG-YONG THINKING TO EMPLOYEE SURVIVAL ABILITY-TAKING SOCIAL CAPITAL AS A MEDIATING VARIABLE AND KNOWLEDGE SHARING BEHAVIOR AS A MODERATING VARIABLE
Zhong-yong is the core of Chinese Confucian culture. From the point of view of employee survival ability, Zhong-yong thinking is multipartite thinking with conformity and concordance. The results of this research are sho...
NONSTATIONARY TIME SERIES MODELS ON CRYPTOCURRENCIES
Cryptocurrencies are known as unpredictable due to their highly volatility. In time series, the forecasting accuracy is strongly affected by the methodologies that are used in identifying the pattern of a nonstationary s...