VaR And ES Model Measured Chinese Capital Market Based On The Semi-Parameters Approaches

Economy is the fundament of one country. Especially, the financial market plays an important role in the economic development. It is necessary to keep financial market working smoothly in order to push the economics to a high level. The fluctuates in the financial market might induces the catastrophe to the whole economics environment, such as the financial crisis, the unstable society and the destiny of the whole country. Thus such as the scholar and the investment managers and the authorities in the financial market all focus on the research about the risk management in the financial market. One of the key to push the development of Chinese financial market locates on the how to increase the anti-risk ability.On the assumptions based on the facts in the financial market, the article establishes the EVT and APGARCH model under each of the following distribution as GED, GLD and GPD which model can measure the dynamic risk index in the financial market. In the following, the empirical analysis calculated the results base on these three different distributions and have significant numerical value in the efficient test. There is an empirical analysis in the Chinese financial market about comparing these two measure methods and conclusion that the ES model is a superior model which also confirms the result in the above. These empirical analyses show a better way to increase the financial market anti-risk ability and improve the market system.