dc.description.tableofcontents | Chapter 1 Introduction...............................1
1.1 Motivation…………………………………………………1
1.2 Purposes……………………………………………………2
1.3 Framework………………………………………………… 3
Chapter 2 Market Risk Management of Basel…………… 4
2.1 Market Risk Valuation Methods ………………… ...4
2.2 The Basel Committee…………………………………….4
2.3 The Basel Market Risk Charges ………………………6
Chapter 3 Literature Review ………………………………9
3.1 Value at Risk ……………………………………………9
3.2 Modeling Volatility…………………………………… 12
3.3 Related Literatures………………………………… …15
Chapter 4 Data and Assumptions ………………………… 20
4.1 Assumptions ………………………………………………20
4.2 Components of Portfolios………………………………21
4.3 Data Period……………………………………………… 23
Chapter 5 Methodology …………………………………… 24
5.1 Value at Risk Models………………………………… 24
5.2 Establishing Forecasting Model………………………28
Chapter 6 Empirical Results……………………………… 29
6.1 Time Series Pattern of Daily P&L…………………… 29
6.2 Testing Results of VaR Models…………………………30
Chapter 7 Conclusions…………………………………… …33
Reference………………………………………………………… 35
Figure 1 Daily P&L Distribution of Portfolio A…… …38
Figure 2 Daily P&L Distribution of Portfolio B…………38
Figure 3 ARMA(1,1)-AVGARCHM(1,1) VaR in Portfolio A under 99% Confidence Level…………………………… ………………39
Figure 4 ARMA(1,1)-AVGARCHM(1,1) VaR in Portfolio A under 95% Confidence Level………………………….……...………..39
Figure 5 AR(1)-AVGARCHM(1,1) VaR in Portfolio A under 99% Confidence Level ………………………………………………… 40
Figure 6 AR(1)-AVGARCHM(1,1) VaR in Portfolio A under 95% Confidence Level ………………………………………………… 40
Figure 7 MA(1)-AVGARCHM(1,1) VaR in Portfolio A under 99% Confidence Level ………………………………………………… 41
Figure 8 MA(1)-AVGARCHM(1,1) VaR in Portfolio A under 95% Confidence Level ………………………………………………… 41
Figure 9 In Mean-AVGARCHM(1,1) VaR in Portfolio A under 99% Confidence Level………………………….………………… 42
Figure 10 In Mean-AVGARCHM(1,1) VaR in Portfolio A under 95% Confidence Level………………………………………………42
Figure 11 ARMA(1,1)-AVGARCHM(1,1) VaR in Portfolio B under 99% Confidence Level………………………………… …43
Figure 12 ARMA(1,1)-AVGARCHM(1,1) VaR in Portfolio B under 95% Confidence Level …………………………………….43
Figure 13 AR(1)-AVGARCHM(1,1) VaR in Portfolio B under 99% Confidence Level ………………………………………….. 44
Figure 14 AR(1)-AVGARCHM(1,1) VaR in Portfolio B under 95% Confidence Level ………………………………………….. 44
Figure 15 MA(1)-AVGARCHM(1,1) VaR in Portfolio B under 99% Confidence Level…….... ………………………………….45
Figure 16 MA(1)-AVGARCHM(1,1) VaR in Portfolio B under 95% Confidence Level…………………………………………… 45
Figure 17 In Mean-AVGARCHM(1,1) VaR in Portfolio B under 99% Confidence Level………………………………………………46
Figure 18 In Mean-AVGARCHM(1,1) VaR in Portfolio B under 95% Confidence Level…………..………………………………. 46
Figure 19 AVGARCHM VaRs in Portfolio A under 99% Confidence Level……………………………………………………47
Figure 20 AVGARCHM VaRs in Portfolio A under 95% Confidence Level…... ……………………………………………47
Figure 21 AVGARCHM VaRs in Portfolio B under 99% Confidence Level……………………………………………………48
Figure 22 AVGARCHM VaRs in Portfolio B under 95% Confidence Level……………………………………………………48
Table 1 Summary for operational income and net profit-and-loss for subsidiaries in Portfolio A ………………………49
Table 2 Summary for operational income and net profit-and-loss for subsidiaries in Portfolio B ………………………49
Table 3 Size and allocation of portfolio A among categories of investment asset……………………………… 50
Table 4 Size and allocation of portfolio A among categories of investment asset ………………………………50
Table 5 The percentage of asset allocation for portfolio A and B………………………………………………………………50
Table 6 Position Details for Portfolio A …………… 51
Table 7 Position Details for Portfolio B……………… 54
Table 8 Summary statistics of actual daily profit and loss for the two simulated portfolios from November 28th 2000 to April 15th 2003…………………………………………57
Table 9 Statistics summary of VaR in ARMA (1, 1)-AVGARCHM (1, 1)……………………………………………………………… 58
Table 10 Parameters estimated in ARMA (1, 1)-AVGARCHM (1, 1) ……………………………………………………………………58
Table 11 Statistics summary of VaR in In-Mean + AVGARCHM (1, 1)…………………………………………………………… 59
Table 12 Parameters estimated in In-Mean + AVGARCHM (1, 1)…………………………………………………………………… 59
Table 13 Statistics summary of VaR in AR (1)-AVGARCHM (1, 1)…………………………………………………………………… 60
Table 14 Parameters estimated in AR (1)-AVGARCHM (1, 1)…………………………………………………………………… 60
Table 15 Statistics summary of VaR in MA (1)-AVGARCHM (1, 1)…………………………………………………………………… 61
Table 16 Parameters estimated in MA (1)-AVGARCHM (1, 1)……………………………………………………………………… 61
Table 17 All VaR models in Portfolio A……………………62
Table 18 All VaR models in Portfolio B……………………62 | en |
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