Study On VaR Model And Its Support System For Risk Management Of Investment Funds

The greatest risk is faced to securities investment funds is financial market risk. Value-at-Risk model developed recently is a mathematical model to measure and monitor market risk, and is a method that measure financial risk with statistical principle. Comparing with the traditional risk management technique, Value at Risk has inconvenience merits: It can show a simple numbers that indicate different financial assets, portfolios and financial institute's all risks, which makes manager comprehend his assets' greatest risk in a time. Studying on the VaR' application in risk management of investment funds is realistic.Based on truth of securities business, this paper above all points out the weakness and problems in risk management of securities funds at present, and introduces the essence of VaR, difficult of technique, advantages and weaknesses of its three basic calculation methods and application. Through taking advantage of improved J.P.Morgan's Risk Metrics model, this article makes a case analysis on the measurement of the net value and portfolio. The study shows VaR method is effective actively and feasible to forecasting, controlling and supervising market of funds and its portfolio. The thesis studies the application on VaR model in the measurement of market, control of market, market budgeting and funds match, disclosing information and Performance evaluation, etc. On the grounds of theory and empirical analysis, at last, the paper tries to establish a support system of VaR risk management, which is used by securities funds.