Short-Term International Capital Flow Risk Measure Based on Coherent Risk Measure

There is no consistency in VaR measure that may lead to the failure of risk management, but this shortcoming can be overcome with expected shortfall (ES) measure. Since the presence of heteroscedasticity in the capital gains sequence results in variable distribution changes over time, so it is necessary to build GARCH-ES for the measure of short-term international capital flows (SCF) risk in China. The empirical results show that measure under EGARCH-ES models appeared as failure cases occuring in the short-term international capital flows under extreme circumstances. In general or extreme cases, the accuracy of GARCH (1, 1)-ES and GARCH-M-ES model is better than the former measure. The accuracy of the test results showed that, in the negative range, ES measure appeared to have failed more.