Research On The Application Of VaR Model In The Risk Management Of Financial Maprket

Influenced by the factors of global economic integration, competition, regulation loosening and financial innovation, huge changes in the global financial environment and financial market are taking place. Risk management technology has become one of the most important research objectives in the fields of financial management and financial engineering. As a new method for risk measure and management, VaR has been widely used since its birth and now has become a major method for measuring market risk abroad.It has been more than one decade's development for the stock market of China, and there are still much immaturity and abnormality in our market which make it more volatile than the developed maturing markets in the west. In this sense it's compulsory to strengthen the risk management. Besides, with the further deepening of Chinese financial revolution, it's inevitable for every financial institution to establish the risk management system on the base of VaR standard according to the international conventions. It's also necessary to make research into VaR models and compare their characteristics.This thesis firstly introduces the background of VaR method and calculates the various VaR models to measure the market risk. As an internal model for measuring market risk, there are many choices for the assumptions and parameters of VaR. Financial institutions usually make their own decisions according to there own developing strategy, the goal of risk management and the complexity of business. Then on the base of theoretical analysis, empirical researches are made on Shanghai Composite Index in order to compare the results of various VaR models and their distributional assumptions, thus bringing about some guiding effects for the application in market risk measure. Besides, empirical researches are also made on stock investment funds to calculate the individual asst's weight in the optimal portfolio, measure the risk for investment portfolio and sum up the application of the fund supervision.