| The financial risk has concentrated not merely in some company one country and area along with world economics unceasing development. With the risk diffusibility, a non- systematic risk can into a huge systematic risk. China financial institutes were under the government control in several years ago. In fact we keep many international financial risk out of our country. But along with China joined WTO and the financial globalization development, especially in 2005 the RMB exchange rate reformation, how to process the market risk become the huge challenge of financial institutes.The stock market is an important constituent of the financial market. The fierce volatility and the huge information content caused it to become a main actor of the financial market risk management. China stock market history is only more than 10 years. It is still in the initial period stage compared with the mature stock market of developed country. Therefore the risk management and control is more important to China stock market.Compares with the traditional qualitative risk management tool, the VaR method appearance has provided the powerful technical support for the effective risk management. The VaR method is a new risk management tool which was developed in the 90's.It is easy to operate compared with the traditional finance risk management models.There are many VaR methods to manage the market risk. But different VaR methods may educed different result .This question makes the risk superintendent who facing so many models does not know how to choose it. This article examined several typical risks measures method based on investment portfolio in China stock market and has obtained the accuracy of several models under certain confidence level .1 hope this article could give some suggestion on how to effectively use VaR method in our stock market. It first introduced the concept of VaR, how to construct a VaR model and the computation of VaR.Then launches the real diagnosis research... |
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