Risk Contribution of Different Industries in China's Stock Market -Based on VaR and Expected Shortfall

摘要

Risk adjusted performance measurement for a portfolio involves the calculation of the risk contribution of individual assets in this portfolio. We employ five industrial indices in Shanghai Stock Exchange to construct an equal-weighted portfolio, calculate the risk contribution of different industrial indices to the whole portfolio and analyze the industrial risk characteristics in China's Stock Market. Our empirical study shows that the risk contribution of Real Estate Index seems to be smaller than other four industrial indices. However, compared to Hong Kong market, the difference of various industrial indices' risk characteristics in China is inconspicuous, suggesting that it is hard to diversify the risks and reduce extreme losses through choosing proper stocks in certain industries.