The Comparative Studies On The VaR Financial Risk Management Model

Abstract:Financial markets play an important role and live an crucial position in the development of economy. Thus the financial markets have been a keen focus for managers and its academic studying. Once the major risks happening in financial markets, they will give a major impact on the economy and may even lead to an economic crisis, causing social unrest. Therefore, the study of the financial market risk management has become the general concentration for government financial management of financial assets, investors and academics. As a risk management model consistent with the direction of future development of a comprehensive risk management and risk measurement methods, VaR has been recognized and supported by the major commercial banks, investment banks, fund management companies and financial regulators in recent years. Nowadays this model has gradually developed into a modern mainstream method of international financial risk measurement and management.This thesis first analyzes the evolution of the financial risk management, and elaborats on the basis of VaR risk management model and the background information of this direction of research at home and abroad. After that, based on the theoretical achievements, we mainly discuss six commonly used model in accordance with the reseaching results which are Historical Simulation, Risk Metrics method, Monte Carlo simulation GARCH model, BMM model, POT model theory and their assessment methods of calculation.This thesis is dedicated to solve the following problems:1.The specific calculation steps of the various models and the pros and cons of assessment.2.The accurate parameter estimation of the parameter model.3.The advantages and disadvantages of the different methods of the model comparison tests.Finally, we use the VaR techniques into the investment decisions and the portfolio performance evaluation. We consider the RAROC value as a fund stock selectional criteria and then analyze how to use it as the indicators of portfolio performance evaluation.