Based On Extreme Value Theory Financial Risk Measure Research

Along with the financial organ combination transaction property number increase sharply, the money market presents the unprecedented undulation and the vulnerability. The market risk measure is the foundation of controlling and managing risk.This article first detailedly introduces present quite popular VaR risk measure method as well as the three kind of traditional computational methods of VaR, that is History Simulation, Monte-Carlo Simulation and Variance- Covariance Simulation, and then compares these three computational method from various aspects. Because the pure VaRrisk gauging device has the dissatisfied uniform risk measure theflaw, therefore this article also introduced uniform risk measuremethod CVaR, the CVaR method better capture finance data rear partdistribution, has made up the VaR flaw.Traditional methods want to give a hypothesis of financial return data subjected to some distribution, which brings about the suspicion of validity of hypothesis. How effectively portrays the financial property income ratedistribution the rear part characteristic, produces its approximatedistributed form, is whether a risk measure model accurately estimatesthe risk the most important condition. However EVT educes the tail of distribution instead of the hypothesis. So it can avoid risk of model and computer rightly the VaR of extreme event.This article quite systematic elaboration extreme value theory and theextreme value distribution characteristic, take the famous enterprisestock index as an example, applied the extreme value theory to therisk value computation, obtained the VaR value and the CVaR value, andhas carried on the comparative analysis, the CVaR value compared tothe VaR value in a big way the real diagnosis result and thetraditional VaR method computation result, the extreme value methodthe VaR value which obtained the traditional method is bigger than. Finally analyzes draws the conclusion: The traditional VaR computationmodel is the static model, the application extreme value theoreticalcalculation VaR model is dynamic, the relatively conservative model.