Sit, Tony. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 49-51). / Abstracts in English and Chinese. / Acknowledgement --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.4 / Chapter 2.1 --- Approaches to Risk Measurement --- p.4 / Chapter 2.2 --- Is VaR a “Good´ح Risk Measure? --- p.9 / Chapter 2.3 --- "Efficient Capital Market, Random Walk and Unit Root" --- p.11 / Chapter 3 --- Historical VaR and Limitations --- p.17 / Chapter 3.1 --- Regression Analysis --- p.18 / Chapter 3.2 --- A Possible Artifact --- p.19 / Chapter 4 --- "Parametric VaR with GARCH(1,1)" --- p.27 / Chapter 4.1 --- "GARCH(1,1), a Conditional Heteroscedastic Model" --- p.27 / Chapter 4.2 --- RiskMctrics VaR --- p.29 / Chapter 5 --- VaR with Regression Quantiles --- p.34 / Chapter 5.1 --- Quantilc Regression --- p.35 / Chapter 5.1.1 --- "Quantiles, Ranks and Optimisation" --- p.35 / Chapter 5.2 --- CAViaR --- p.39 / Chapter 5.2.1 --- The model --- p.39 / Chapter 5.2.2 --- Empirical Studies --- p.42 / Chapter 6 --- Conclusion and Future Research --- p.46 / Bibliography --- p.48