The Calculation Method And Empirical Study Of The Value At Risk

As a major factor in the financial industry, risk is a hot topic at any time. It is closely related to the return of investors,the relationship between the two is also the investment of each investor reference in. There are many methods to measure the risk, but the VaR is the most popular and effective risk management technology in the market.In this paper, the research object is the value at risk.Firstly, it introduced the background and definition of the ‘Value at Risk’ in simple. After that, it introduced the concept of VaR and several common methods in details, like historical simulation method, parameter method and Monte Carlo simulation method. It makes a further research of these three methods. The calculation steps and their advantages and disadvantages are also explored. Although VaR has many advantages, but there are still a lot of defects which is needed to be improved and innovated in the future.Lies on a single product of the soybean and wheat futures, taking three methods of the empirical analysis. Compared the desired var values we obtain with the actual values in order to show the advantages and disadvantages of the three methods better.To improve the historical simulation method, which leads to the concept of C-VaR.And it has certain directive significance to the practical operation.