Empirical Study On The Status Quo Of Market Risk About China's Financial Industry Based On The VaR Method

"Loan crisis" in the United States for the start times of financial crisis intensified, which in 2008 triggered a global financial crisis.The financial crisis has caused great damage to the financial industry around the world.Of course,China can not succeed in escaping alone.Thus,researching the trend and the current situation of the market risk about the China's financial industry,this can help China to deal with the global financial crisis,and to ensure the safety of the financial industry,and to provide some references to draft relevant policies.My major concern is about the market risk of the China's financial industry.After the introduction of the financial risks and the theories of control and measure,I focused on the discussion about the emergence and development of the VaR model;At the same time,I described the basic theories and the main calculation method in the application about the VaR model in detail;In addition,I do the empirical research on market risk of China's financial industry in the basic theoretical framework of the VaR model,which is the core of this paper.In the core structure of this paper,Firstly,I introduced the basic principles and calculation methods of VaR models.Secondly,I do the statistical analysis and testing on the actual historical data of the financial index and financial index of 180.To the time series of financial market factor which has the fat-tail and volatility clustering,we use a combination solution of normal distribution and ARCH-type model,to predict the value of the VaR.At the same time,we according to the VaR value of the financial index and 180 financial stocks index,to analysis the changes in trends and the status quo of the market risk about the China's financial industry.Finally,to further explore the development prospects of the VaR approach in China.