Var Model And Its Empirical Financial Market Risk Management Analysis

Risk management technology is increasingly one of the most important research objects in the fields of finance engineer and finance management; and risk measurement is essential and basic in risk management. Only depending on measuring risk stake correctly, risk management could be achieved. Risk management includes market risk management, credit risk management, operator risk management and so on. The thesis focuses on the risk measurement of financial market. Under the basic frame of VaR model, we discuss problem of managing the risk theory of financial market and technology of empirical analysis.VaR based on market value measures has become major method of measuring the risk of financial market. Firstly, the paper introduces the basic principle and computing technology of VaR model, and then carries on statistical analysis and test to the real historical data of the interest of stock markets of Shanghai and Shenzhen in our country. Aiming at volatilities clustering and fat tail of market factor, we combined t distribution and generalized error distribution with ARCH model to calculate VaR value. Through using various measuring risk methods to apply to security market, and combining empirical analysis with back testing, we have deep estimated the accuracy of measuring the model of every risk. Eventually, we probe further into the application of VaR method in financial risk management and the development prospect in our country.