The Improvement On VaR Model In Financial Markets Risk Measurement

In recent years, VaR (Value at Risk) model as a market risk measurement methods for future risk management direction, has been generally recognized and supported. China's financial market developed rapidly this years, but there are still large gap in the VaR method between China market applicatiohn and the international financial market risk management techniques. Therefore, how to draw on more mature VaR model as a quantitative measurement of financial market risk, has important practical significance and value in our risk management of financial markets, which is the main purpose of this article and theoretical methods.This article study the financial market risk management first, then introduce the financial market risk management and the development of the historical background and study the main financial markets risk measurement tool - VaR model. Next, the article introduces the VaR model theory, its background, research, computing principles and methods. After that, in order to make the model applied to our actual financial markets better, paper improves VaR model for the limitations. As the parameter work out in the assumption of normal distribution, the Non-parametric method does not predict extreme events promptly, so this paper combines extreme value theory to improve the Model to forecast extreme events, and establish model of parameters and non-parameter mixed to estimate VaR, and make empirical analysis with China's Shanghai Composite Index, then tests model to prove model effective. This is also the innovation of this article. Finally, this paper sums up the value of research and shortcomings in the conclusions of the article, and prospects development of VaR model in China's financial market risk management.