VaR Method And Application Of Risk Assessment

The economic globalization brings in global competition,it makes the financial market of China changes like a storm,most of the global financial markets are fluctuating,so that each country put the risk management o the more important position.One of the major risk measurement methods is VaR,which is the value of risk.The VaR approach allows the risk of financial assets to be embodied as a simple number that can measure the level of risk in the financial market easily.This paper introduces some basic concepts and related properties of VaR,and establishes the point estimation and interval estimation of VaR.In this paper,the VaR and GARCH model are used to establish the point estimation and interval estimation of VaR under the normal distribution,t distribution and GED distribution,and compare it with the VaR of Cornish-Fisher expansion and Chebyshew-Markov.The point estimation is based on the return probabilities proposed by Kupiec as the comparison probabilities,and the interval estimation using the coverage probability(CP),the error probability of the parameter falls in the upper side of the interval(Upper),the error probability of the parameter falls in the lower side of the interval(Lower)and the median of the interval length(Med)as the comparison criteria.Finally,it is found that the VaR obtained by Chebyshev-Markov approximation quantile is better in the EGARCH model with under GED distribution.