The VAR Estimate And Concrete Evidence Analysis For The Risk Of Securities Investment

This text introduces and lookback first the history origin and the present condition, aim at the actual circumstance of the stock market of our country to put forward question, and make sure the textual research contents.The following inquirying a category of risk and its estimate models.The third chapter is the emphasis for this text to introduce and discuss. In the chapter the author combine the history data of the stock market of our country to proceed the verification about the related theory models. At the behind part of the thesis regarding several typical models method that VAR compute as the main line and joining together the actual circumstance of the stock market of our country to make a point research and analysis about the following problems:The first, inquiring into the risk of the index number. Regarding the Shanghai Composite index number as the sample, respectively computing its VAR with imitating method and parameter method( std?the amount std memod).comparing with the theory value , the actual result did not beyond the reach of the theories'. And comparing the calculation result of two kinds of methods , error margin is not very all within the scope of acceptable.The control of the index number risk primarily is put forward for stock supervisor and big finance institution.The second, analyzing the risk of Var of single stock.Regarding WuGang share(600005) as a example to explain the calculation method and calculation processes of the stock risk control of single stock with VAR. The analysis of this part primarily is to arm at the small stock investor.During the calculation processe the author respectively use history imitate method and parameter method.The third, discussing the calculation method and the process of VAR of the portfolio and making use of the history data of our country stock market to make the evidence analysis.using Fund TongZhi as a example to calculate the VAR of the portfolio.In above the foundation of a few problems putting forward the adaptability for VAR in our country and its reason why risk control is not adaptability for single stock.Article finally work out the simple conclusion and have prospects for the stock market of our country.