The Empirical Research Of Value At Risk In The Stock Portfolio

Over the past 20 years, with the development of economic globalization and financial integration, global financial markets have achieved the rapid development and present the severe volatility, which makes the risk of financial industry in China more complicate and international.In order to control and reduce effectively financial risks, financial institutions begin to abandon the traditional measurement method of the risk and use value at risk to measure the risk. So VaR is of great importance for China’s financial industry managing risk. Based on this, this paper makes the following research work:First of all, this paper explores the research background and significance of VaR, and sums up the research status at home and abroad, elaborates the basic principle of VaR and the three kinds of calculation methods of VaR, namely the variance-covariance,historical simulation method, and Monte Carlo simulations.Secondly,in order to determine the Shanghai and Shenzhen component index weight of stock investment,this paper uses unit revenue risk minimization model to calculate the optimal weight of the stock portfolio. Then the empirical analysis of the statistical characteristic of stock index portfolio shows that the stock index returns has unstability, non-normal,fat tail,volatility cluster and ARCH effect. And according to the statistical characteristics,we improve Monte Carlo simulations.Finally, this paper uses MC simulation,GARCH-MC simulation and GARCH-T-MC simulation to calculate the stock portfolio VaR of Shanghai and Shenzhen component index,and the result shows that GARCH-T-MC is optimal.