The Study About Methods Of VaR Model

This text has introduced some study about methods of VaR model, which include two parts. 1) There are some problems that are risks from modeling and over-depending the historical data in the process of using VaR model; simultaneously the improving methods are presented . 2) Bayesian analysis is used in the back testing of VaR model.In the chapter one of this thesis we introduced defects which are exposed in the process of using VaR model , the common testing methods about ineffective model and research achievements in the past. Finally the main results of this thesis are introduced briefly. Monte Carlo Simulation (MCS) is the common method of calculating VaR.In the chapter two of this thesis, we point out two noteworthy questions: 1) Time-consuming is the bottleneck of Monte Carlo simulation. Thus in our paper, we present the optimized model by determining the two key parameters, the period and the number of simulation path, in optimizing, from the angle of cost and revenue. 2) The scenario simulation is one of the fast...