Abstract
Abstract: With the advent of economic globalization, the severity of financial system losses is increased dramatically. To ensure that financial institutions can bear sufficient risk, numerous risk measure models emerge. This paper studies the effectiveness of different models in measuring risks in different regions. The paper uses three approaches: The parametric approach, the Semi-parametric approach, and the non-parametric approach, and seven different models that belong to these approaches to calculate value at risks and expected shortfalls. One-dimensional asset and one-day forecast are applied in the model fitting. Using backtesting of historical daily return series to test if the value at risk and expected shortfall are reliable and models are good to use. The author also introduced a new concept, volatility of deviation in value at risk, as an additional criterion to judge the quality of the model's prediction results. Finally, the most appropriate models are selected to measure the risk levels and analyze the risk situation in different regions.
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