Hi, need to submit a 9250 words essay on the topic Portfolio Risk Utilising a Value at Risk Methodology.my gratitude and thanks to my supervisor Tony Hall and course leader Jason Law whose insight and

Hi, need to submit a 9250 words essay on the topic Portfolio Risk Utilising a Value at Risk Methodology.

my gratitude and thanks to my supervisor Tony Hall and course leader Jason Law whose insight and experience showed me the right path and guidance to complete this project. My acknowledgment would not be complete if I miss to thank other tutors and classmates who were the source of learning and enjoyment throughout my stay at the university.

Table of Contents

Table of Contents6

CHAPTER 18

INTRODUCTION TO CHINA 'S STOCK MARKET8

1.1 Introduction8

CHAPTER II12

1.2 Stock Market Development from 192212

1.3 Institutional Facts about the Chinese Stock Industry12

1.3.1 Stock market structure 12

1.3.2 Share structure 13

1.3.3 Investors 14

1.3.4 Listing and de-listing14

1.3.5 Trading mechanism16

1.4 Value at Risk 17

1.4.1 Definition of Value at Risk18

1.5 Existing Approaches in Value at Risk Estimation21

1.5.1 Traditional Historical Simulation21

1.5.2 Variance-Covariance Approach23

1.5.3 GARCH Model Building Approach25

1.5.4 Monte Carlo Simulation25

Chapter 328

Value at Risk Methodology28

Introduction28

1.2 Portfolio VAR31

1.3 Historical Simulation33

1.4 Monte Carlo Simulation34

1.5 VAR Strengths and Weaknesses35

CHAPTER IV37

DYNAMIC CORRELATOIN OF CHINESE STOCK37

4.1 Introduction37

4.2 Data and Descriptive Statistics 40

4.2.1 The Data40

4.2.2 Summary statistics41

4.3 The dynamic Correlation Coefficient Model45

4.4 Empirical Estimations48

CHAPTER V51

CONCLUSION51

Effects of policy change51

Conclusion53

CHAPTER 1

INTRODUCTION TO CHINA 'S STOCK MARKET

1.1 Introduction

With China's rapid transition to a modern economy, all of its business sectors and industries are undergoing dynamic changes.