Research And Applications On Risk Management And Measuring

Financial risk is the internal attribute of the financial activities. It is also the important integration of financial engineering .The widely exist of financial risk is the important character of modern financial market ,every economy organization which relates to financial activity faces financial risk .Financial risk not only seriously influence the financial organization and enterprise'common running. but also to one country and worldwide financial and economy's stationary constitute seriously threaten. Which let not only financial organization but also guarding and management. They ate exploring the theory of risk management technology and method. VaR model widely accepted by professional manager .In the same time , VaR model in controlling the financial risk ,evaluation the accomplishment of the organization and guardian are been adopted widely.Due to the shill peak and fat-tail character of financial data. firstly, this paper study a common risk measure and a new risk measure, continuously, introduce the popular risk measure VaR and its calculate method, in this paper, we emphasize the extreme value application in VaR method and do empirical analysis. Moerever, we analyze the stationary and non-stationary return extreme method. In the end, this paper discuss a new trend in risk management—integrate risk management, in the same time, we also explore other trend of financial risk management.1)This paper has a certain innovating in several facet:This paper study a common risk measure and a new risk measure, continuously, introduce the popular risk measure spreading from uniform .triangular ,log-normal distribution to t, laplace, and mix normal distribution, and discuss the riskψrelating to the parameter.2)This paper calculate VaR model with extreme value and adopt a new method in estimate the parameter . 3)This paper also discuss the non-stationary return extreme model.This paper also has several shortcomings:Although this paper explore the extreme research in no-stationary return, due to the lack of tools . we has not give the empirical analysis which can prove the goodness of the model.Although we study the VaR model. but we did not study it system. We only study extrme model ,but do too less to the ahead of extreme value—multivariate values. and also commence in integrate risk management.One leaf loads and know autumn. This paper must has many shortcomings. I sincerity and request each teacher's criticizing and pointing.