Standard Equity Fund Risk Assessment Based On Var Model

Nearly 20 years,financial market risk has become a global financial institutions and regulatory authorities to focus. And some at the same time,risk measurement technology also becomes one of the object of study,including VaR technology also is recognized for comparative authority and quantitative analysis method. VaR model in the application of financial risk management is more and more extensive,especially as VaR model is the constant improvement of financial institutions,not only application market risk,the risk of quantitative research,and VaR model is working with linear programming model (LPM) and nonlinear programming model (ULPM) planning model theory,organically,and determine the financial institutions such as the market risk the best quantitative analysis method,so as to facilitate the financial institutions for potential risk control the optimal decision.This paper then introduces the definition of the risk management of the VaR method,calculation and application,of which introduces variance a covariance method,history simulation method,monte carlo method and GARCH model,and GARCH model history simulation method and empirical applied to estimate huaxia strategy selected funds 90% the confidence level. Practical application indicates that GARCH model can yield better simulate the distribution features of the sequence of VaR level,so it is compared with the estimated history simulation method,more accurately. In addition,this paper also discusses VaR technology in the application of combined risk management. In the mean a variance Markowitz proposed model based on that,will apply to this theory in the VaR,optimal portfolio will can be converted into the next maximize returns in a given VaR under in a given earnings or minimize VaR. This article selects the huaxia strategy selected funds as a sample the data of the mean - VaR optimal investment empirical analysis.China began to introduce in the VaR model,with more research results,ut VaR model application now really in the initial stage,all financial institutions are already aware of the VaR advantages,researchers are suitable for their business features of VaR model. Through this paper introduces hope to give VaR technology in fund risk assessment in the understanding of the application caused further.