Research On Several Measure Of Financial Value At Risk

When making investment in financial markets, investors are most concerned about the level of profit and the range of gain. This actually requires risk managers to measure the volatility of asset returns. So the study of the measure of financial risk research is necessary. The method of value at risk (VaR) is one of the fastest growing risk measurement methods, because of its simple, intuitive, etc, which was widely used by risk managers. After the further research and empirical analysis of the number of scholars, the method of value at risk is becoming more and more optimized, therefore it has become the main method of management and measurement of financial market risk.In this paper, the first part introduces the financial market risks and opportunities coexist, in order to the interests of investors, also for the healthy and stable development of financial markets, the measure of financial risk research received more and more scholar’s attention. Then it answers the significance of the empirical study based on the measure of financial risk research.Detail in this paper, the second part expounds the definition of financial and financial risk, and then analyzes the unique characteristics of China’s stock market, and then clarifies the financial time series data with the peak and thick fat tails and volatility clustering, information and volatility asymmetry, excessive volatility from the Angle of the micro.In this paper, the third part firstly introduces the basic methods of risk measurement, including the sensitivity method and volatility method; Secondly introduces the definition of value at risk, yield assumption of three kinds of distribution and the inspection of value at risk; Finally the method of value at risk is introduced, including the nonparametric method and parameter method.The last part of this paper applies the parametric and nonparametric method to measure and inspect the risk of wanke A shares in the confidence level of 95% and 95%. The results show that under the t distribution EG ARCH (1,1)-VaR model can better describe the return on wave process of the assets, calculate the value of the VaR more accurate in the four models. According to the conclusion of the empirical analysis some advice are given for the vanke A share investors and managers.