The Application Studies On The CVaR-EVT Model Of Financial Extreme Risk Management

With the rapid development of financial liberalization in the twentieth century, the international financial market has became increasingly standardized, and goes from strength to strength. International competition between financial institutions has undergone a fundamental change, especially involved intensified competition of innovative financial products. However, the innovation of financial products and financial reform increase the speculative behavior of financial institutions, and make the entire financial market flooded with the instability.the volatility of the financial risk is growing. America’s Orange County bankruptcy, the collapse of the United Kingdom of Bahrain banks, and now sub-loans crisis, including the five investment banks bankruptcies of United States such as the global financial crisis, and even lead to a European national sovereignty debt crisis, these vivid examples is sufficient to explain that the entire global financial market has been filled with instability. These special economic events make people to realize that we should strengthen the implementation of extreme or unusual financial risk management in financial institutions or other business entity. Thus, financial risk management is becoming the basis and core of the modern financial institutions.As the financial crisis has made a deepening impact on the global economic, more and more people recognize that strengthening financial risk management and effective supervision of financial institutions is imperative. However, the current VaR approach has serious deficiencies, which has widely used to estimate the financial risk by financial institutions, and could not be more effective to measure of financial extreme risk especially when the financial time series exist the characteristics of "spikes, thick tail ". In this paper, CVaR-E VT model approach has to make up for the lack of measurement of VaR. By analyzing20years of daily return rate of the U.S. market, Japan, Hong Kong and Chinese Shanghai and Shenzhen markets, we find:CVaR-EVT model confidence range of estimates is generally higher than estimates of VaR methods; Chinese stock market VaR value of the extreme tail risk is higher than Hong Kong, the United States and Japan’s stock market, but with Chinese financial market development, China is narrowing the gap with their.