The Statistical Study On The Finance Risk Measurement

Finance is the core of economy, and financial safety is directly related with economic safety. Financial risk is objective in modern finance activity. Inl990s, series financial crisis made people think deeply , financial crisis is from the accumulating and enlarging of financial risk , and financial risk can be enough to threat and damage financial system essentially, and then can jeopardize the financial and economic safety of a country and even of the world. This paper observes financial market with both the Efficient Market Hypothesis(EMH) and the Fractal Market Hypothesis(FMH) at the same time, financial risk measurement is the base of the whole research. Firstly, this paper microscopically started with a thoroughly theoretical and positive research on financial risk measurement. Theoretical research is based on financial market risk measurement with both the Value at Risk(VaR) method and the Rescaled Range (R/S) method, and then discussed the application of the VaR method on financial credit and liquidity risk measurement .especially on those of commercial bank. Positive research includes financial market risk measurement by both VaR and R/S method, and financial credit risk measurement by VaR method. Secondly, aimed at the higher standard of further reform and enlarging open of our country after joined WTO, and facing the challenge that financial internationalization tide brings to the financial development of our country, according to result of Positive research on financial risk measurement, and based on the two market theories, especially the fractal market theory, this paper puts stress on macroscopic finance, and does a thorough research and has put forward some basical and key strategy for our country to implement financial supervision in this new period. This paper especially emphasizes that after joined WTO, our financial market becomes complex day by day, so it is necessary to observe it from both EMH and FMH angle at the same time ,and carry out a comprehensive research on financial risk measurement. We need to do an organically cooperative work between financial risk control .financial supervision implement and financial safety maintenance , and these three are essentially one thing.