Application And Comparison Of Value-at-Risk Method As Well As Analysis For Demonstration

In recent 20 years, with financial global tendency as well as fluctuation of finance market increasing gradually, theory and practice of manage of global financial organization happen to revolutionary transform. The management of financial risk has become the basis and core of management of modern financial organization. Securities market as an important component of whole financial market, with acute fluctuation and huge number of trade, become the leading role of risk management of finance market. From bankrupt case of Oluunzhi county government in United states to going bankrupt of Berlin Bank, which showed it is important for securities invest to increase the controlling of risk.As the shortcoming of traditional (specified duration period), coefficient and so on method for risk measuring appear increasingly, value-at-risk method by coming up with on the basis of that J.P. Morgan bank and G30 group observe and study product for measuring risk of market has become a leading role method for measuring risk of market at present in the world. Riskmetrics model of risk controlling of J.P Morgan bank for computing value-at-risk gain extended application in the world market. However, Chinese securities market only goes through a few years from begin to now, it has big spatial difference comparing to the ripe securities market of developed country such as Europe and United states. If value-at-risk model for risk controlling apply to Chinese securities market or make it apply to Chinese securities market by adjustment. The goal of this article is going on beneficial inquiry in connection with these methods.The article first introduce systematically the function of value-at-risk risk model in the invest management of modern securities, the basic knowledge of value-at-risk model as well as the computer of value-at-risk, the measuring method of value-at-risk of capital union (several simulation method) and going on comparison, then going on the analysis for concrete evidence on the basis of historical trade date of resent Chinese securities market (compute value-at-risk value of single capital, union capital and seek to obtain the increment value-at-risk value, analysis the influence of risk of whole investment union); in the end come up with two risk controlling which are use more extended and whose effect is more better and gain some enlightens.