China's Securities Market Of Var-based Risk Measure

Since the new century, especially since China joined WTO, the opening step of Chinese money market has expedited more and more quickly. In order to answer the internationalization trend of money market, it is pressure to make domestic finance organization accord with international trend, both in internal control and risk management.As the core factor of risk management, risk measurement determines the validity of internal control and risk management. Now, majority of international finance organizations choose VaR method as standard of risk measurement in finance trade, and apply it in each field of finance trade. Indeed, some large finance organizations have made the VaR method value of asset as part of accountant sheet which must be publicized termly. In the background of according with international trend, it is imperative to introduce VaR method to China across-the-board, where illuminate that the method of VaR has great application in risk measurement of Chinese securities business.As well known, stock belongs to the high-risk trade. This paper introduces the actuality of risk measurement of Chinese securities business and the use of VaR method briefly, and makes demonstration analysis of the risk condition of Chinese securities business using VaR method. It includes five parts and the concrete configuration arrangement is as follows:First, the paper introduces the discussion about VaR method in the background of the development of risk measurement. After summing up the production of scholars, both domestic and foreign, the paper elucidates its' respect, that is simple and effective method of Chinese securities business's VaR measurement.Second, the paper introduces the VaR method, including literal definition, mathematical formula, applied condition, calculating method, afterward test, and so on. In the all aspects of VaR, this paper makes calculating method as keystone, which includes Historical Simulation, Monte Carlo Simulation, Analysis Method, Stress Testing, Extreme Theory, and so on. Every method has its' advantage, disadvantage and applied area, and no one is perfect.In the third place, the paper selects a great deal of data and uses several representative methods making demonstration analysis. The methods selected are part of different kinds: Historical Simulation belongs to non-parameter method, David Le Method belongs to part-parameter method, and Delta-Weights Normal Method, Logistic-Distribution Weights Method, and t-Distribution Weights Method belongs to parameter method. The object of demonstration analysis include ShangZheng index, ShenZheng index, Shangzhengl80 index, Shenzheng100 index, 180ETF, 100ETF, and the important stock of the ETF.Finally, the paper compares the results of risk measurement between stock index and single stock in fund, based on the result of demonstration analysis. There are affinity between the stock index and the ETF index.