Lower Bound VaR And Its Empirical Analysis of the Market Risk Between Shenzhen and Shanghai Stock Markets
Shuguang Zhang · Yunchou yu guanli · 2009
In this paper,the VaR bounds measure for portfolios of correlated financial assets,proposed by Luciano and Marena,is applied to study the market risk of Shenzhen and Shanghai Stock Markets.Comparisons with the traditional VaR values under the normality assumptions on returns are also discussed.Empirical analysis indicates that the market risk of Shenzhen and Shanghai Stock Markets indeed has a fat-tail and violation clustering.This article provides a detailed analysis of the violation clustering phenomenon of domestic market and discusses the corresponding model back-testing procedure.Lower bound VaR passes the two model tests.