Based On The Shanghai Composite Index Of Three Historical Simulation Method Of Empirical Comparative Study

With the development of the world economy and the complexity of the rules,the volatility of financial markets has become frequent and violent:1997 Asian financial crisis,the 2007 US subprime mortgage crisis,making the role of risk management highlights.Risk management requires risk measurement,risk measurement is the basis of risk management,risk measurement model is the basis for accurate risk measurement results.The development of the Basel Capital Accord has made the risk measurement method perfect.As more and more international organizations begin to adopt and promote,the VaR value is gradually becoming the industry standard for risk measurement.The VaR model has three estimation methods: Delta-normal method,historical simulation method and Monte Carlo simulation method,in which historical simulation method is the main method of risk measurement.The results show that the weighted historical simulation method and the filtering historical simulation method are more accurate than the traditional historical simulation method,the weighted historical simulation method and the filtering historical simulation method.