The Application Of EVT-VaR Model To Risk Management Of Index Futures

The financial crisis in 2008 led to instability of the financial markets, and many countries' stock index fell down sharply. in the whole world, the risk could not be eliminated, but it can be dispersed. Effective risk management can greatly reduce the risk. Most financial institutions have made daily reports of the VaR value, and such a simple figure will allow managers to know the company's risk situation, which can help them better get to take measures to guard against risk. financial institutions in china are lack of risk prevention, and by now they haven't introduced VaR model as a risk management tool.At this stage, the conditions for the introduction of stock index futures to our country has become mature. Since stock index futures are leveraged transactions, they enlarge the returns by several times and at the same time amplified the risks. Therefore, It is particularly important to use VaR model as risk management tools. Since the normal distribution could describe the tails risks not perfect. In reality, huge losses happened far greater than those the probability distribution estimated. Using Extreme Value Theory can be a good simulation of tail risks. Besides, GARCH model could solve the problem of the clustered rate of return. Since our country has not launched stock index futures, this paper chooses to use the date of the United States S&P500 index futures to calculate the price volatility and the VaR-based basis value. The paper could be used for reference at the time of launching stock index futures in china.