Applied Research, Portfolio Var Decomposition In The Shanghai And Shenzhen Stock

April 8,2005 Shanghai Stock Exchange and Shenzhen Stock Exchange jointly issued the Shanghai and Shenzhen 300 Index, which greatly facilitated the introduction of index derivatives financial products and development. Based on the Shanghai and Shenzhen 300 Index, July 2,2007 launched a ten plate index, consumer index, industry index, materials index, financial index, energy index, telecommunications index, medicine index, Public index, information index, optional index. Index segment provides to the financial markets more reference, also for building types of financial products to provide more reference information. With economic development, financial markets and the risk of derivatives more complex, more difficult to measure and monitor, for which the need for more effective ways and means to measure risk. With the value of in-depth study of risk, risk sources and causes need further subdivided, need to combine different investment risk analysis, modeling and forecasting. How to measure and monitor the effective risk, have been becoming the sub-study of risk issues more pressing.Based on the total risk on the portfolio, VaR (Value at Risk) risk measurement is decomposed, in another word, from different parts of the portfolio analysis of risk, total risk is decomposed into the marginal VaR, component VaR, incremental VaR, with four models to the CSI 300 Index, and the ten sub-sector index for the empirical analysis of constituents in order for risk managers and investors to provide investment advice.The results show that with the increasing in the risk of future market trends, marginal VaR, component VaR, incremental VaR of the ten plate index using the four methods, give clear answers. the variance-covariance method and Monte Carlo simulation test by the failure rate past. The empirical analysis shows that the variance-covariance method can better describe the risk profile of the top ten plate index.