Research On The VaR Of SSE 50ETF Option Based On The Extreme Value Theory

Option risk measurement problem has been a hot issue in the financial sector.In the early Feb of this year,the Shanghai 50 ETF options were exchanging on the Shanghai Stock Exchange which was the first option trading varieties,Ended China's capital market options trading long-term vacancy,marking the beginning of the real sense of the options trading.but the option as a financial derivative,itself can be regarded as an asset allocation,because of its high leverage,investors are facing a greater market risk.The focus is to explore the value of the extreme value theory of the 50 ETF options' s trading risk measurement problem.The extreme value theory is firstly introduced into the risk measurement of China's Shanghai 50 ETF options and empirical analysis.This paper first reviews at home and abroad about the option risk measurement methods and analyzes their deficiencies.Based on the former,a improved DGT method about options is introduced in order to be more practical.The two kind of distribution about extreme value theory is generalized extreme value and generalized Pareto distribution.The risk measure of the of Shanghai 50 ETF option are from the perspective of dynamic VaR method,Finally,the estimated VaR of extreme value distribution are compared with other common VaR methods under the Kupiec tests and mean square error method.Empirical results show that VaR method based on extreme value theory's accuracy of the VaR method is higher than other commonly used methods.It can better describe the market risk of options.In particular,the value of generalized extreme value distribution can be underestimated.But in high position,it is the best method.the generalized Pareto distribution is obviously better than other VaR risk.