VaR Based On EVT And Its Application In Shanghai Stock Market Analysis

With the integration of the global economy,and the influence of the financial innovation and scientific and technological progress,the reolutionary changes of global financial markets has happened,capital market emerged an increasingly globalized.In our country,with the developing and perfecting of the socialist market economy,capital market has been improved by leaps and bounds of progress,then market risk is becoming more and more important.Therefore,it appears quite urgent about how to explore an effective risk control mechanism,it is not only require to development of financial market,but also have an effective measure of risk of standard to the financial institutions , which makes it easy to unified decision-making for regulators,in order to induce healthy and sustained development of China's capital market.This paper expounds the risk value relevant research present situation, and summarize the relevant calculating method. Then analyses the trend and volatility of the Shanghai stock market.Based on extreme value theory,we applied to the Shanghai stock market as the model as in the issue. In the third chapter it gives the extremum theory concerned concepts of theory and method, and emphatically introduced the model analysis method, describes the detailed model of related parameter estimation.In the fourth chapter it selected the Shanghai composite index of closing quotation price since the 1999 July 2 to December 31st,2008 nearly 2294 days,and with daily closing price as the sample data,to the Shanghai composite index daily closing price for logarithmic processing,to research the Shanghai stock market risk value with it. In the process of model analysis,for threshold selection, this paper adopted a chart and graph method combining,and through drawing to validate the model,the experimental results show that the method is effective.