Financial Market Risk Measurement Model-var And Var-based Portfolio Choice

In this paper, VaR, the mainstream model of market risk measurement is introduced. The background, conception, and the apply methods of VaR are introduced in detail. We can see how to get the greatest income return rate in confirmative VaR, or to minimum VaR in a given income return rate.There have three charters in this article. In charter one, introduce the conception of finance marker risk and the mainstream model of market risk measurement-VaR in detail. Consist of the background of the produced of VeRt the conception of VaR, the fundament and procedure of VaR calculation. In charter two, the fundament and procedure of past records simulation in VaR calculation are first introduced. Then in view of this method's problem, put forward the past records simulation method on the basis of kernel estimate ane prove some natures of the estimate. In the last charter, on the basis of the model of Markowitz's portfolio investment combination, put forward the best mean-VaR model of portfolio investment combination.