Abroad happened a series of financial crisis in the early1990s, We’d see billions indamage and financial institutions insolvency, At this time Value at Risk rely on its cleareconomic meaning and easy operational become finance market risk measurementmainstream method The first, this article describes the three basic methods of Value at Risk,Parameter method, Monte Carlo simulation and Historical simulation, summed up theirbasic idea, applicable scope, advantages and disadvantages.The second, proposed the shape of tree algorithm to calculate VaR, Mainly dividesfour situation to explain this algorithm’ implementation process, Giving examples toconfirm the different situation.This article proposes the shape of tree algorithm was to had the same type algorithmrevision and the improvementNew algorithm is more simple, convenient, practical, can significantly reduce theamount of parameter estimation and calculation. |