Empirical Study Of Finacial Risk Based On VaR And CVaR

Financial market is not only full of opportunities but also hidden risks. How to effectively measure the risk is a matter of concern to us.As the measure of risk indicators. Both VaR and CVaR are widely used in recent years. We combine theory and practical together in this paper. Introduce the mathematical definition of VaR and CVaR. Learn their properties. Compare the similarities and differences between them. Select the different confidence level and periods. Establish a principle guaranteed fund model based on VaR and a mean-CVaR model of equity portfolio. Give an optimal combination of stock through matlab. At last we obtain that VaR and CVaR can be the effecitive measure of risk. It has the significant effect of risk aversion.