Var Risk Measurement Model And Applied Research In The Chinese Stock Market

VaR is the abbreviation of Value at Risk. It's a brand new tool of Finance Risk Management rising from West country and is used to estimate the possible and potential loss of appointed financial products or portfolio according to the fluctuation of prices. The concept of VaR is very simple, but the measurement method is a challenged item in statistics. Surrounding the estimating method of VaR, some specialists and scholars in West country have made deeper research. In the recent years, some Chinese experts start to apply the tool of VaR and try researching the relevant theory of it. Based on the theories of the former experts, this article makes further statement about Value at Risk and applies some relevant data of China stock market to analyze the application of VaR for risk measurement in our stock market. It's in order to form the operation system of stock risk measurement and to promote the development of our stock market more stable. The article firstly makes the statement from the background of VaR, the history and ideology of VaR, then expatiate on the principle and method of VaR. There are three typical calculating method of VaR: History Simulation Method, Analytic Method and Monte Carlo Simulation Method. Based on the VaR Model system, this article focus on the positive analysis of VaR on our stock market as well as effects of VaR in the risk management in finance market.Owing to the limit of my knowledge and the lack foreign documents, there would be a number of questions not having been expatiated clearly, even some mistake occurred. here, I sincerely hope every experts and teachers could correct my false and give some recommendation.