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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Quantile-GARCH Models with Its Application in Financial Risk Management
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 4201-4204)
Author(s): Shaozong ZHANG, School of Mathematical Science, Yunnan Normal University, Kunming, China
Jie YANG, School of Economics and Management, Yunnan Normal University, Kunming, China
Li LI, School of Mathematical Science, Yunnan Normal University, Kunming, China
Abstract: Abstract: Researches, market practitioners, and regulators have paid more and more attention to the risk management since the global financial crisis broke out in 2008. To measure and strengthen the management of possible financial risk by adopting some scientific risk measuring instruments has become the tendency today. In this paper, we summarized the risk measuring advantages of a new kind of Quantile GARCH Model proposed by Jiang and Deng (2004), and applied it to the risk management of the Chinese stock market. Shanghai and Shenzhen 300 Index was chosen as the sample in our empirical study, and Quantile GARCH Model was used to fit the log-return sequence, which resulted in a GARCH Model based on Quantile distribution. Furthermore, this model was used to calculate the VaR and ES estimation values for the financial risk management.
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