| VaR(Value at Risk), is a new criterion to measure the market risk by a standard statistical technology, and it is widely used in the domain of financial mathematics at present. It is a mathematical method to anticipate the most heavy loss under the normal market condition with the given confident level and time horizon. Based on a precise statistics theory,VaR models are able to quantify the general market risk of various financial tools and portfolio into just a number to briefly and clearly indicate the degree of the market risk.Due to these advantages,VaR models have been widely recognized and supported in the field of finance globally.There are two methods in the VaR measurement.One is to analyze on the basis of partial estimation which is represented by variance-covariance method,the other is on the basis of holistic estimation characterized by historic-simulation method, Monte Carlo simulation and stress testing method.VaR models are widely used not only in market risk management,but in the measurement of credit risks by involving the violation probability and other related variables to get the expectational lost distribution and sequentially get the value of lost(Value of credit risk)caused by vital changes in credit quality under a certain significant level. In recent years,this method has been considered a standard of risk measuring in the whole industry by many banks and lawmakers.The evaluation of risk focuses on quantitative analysis, and it needs systemic and reasonable analysis methods since it is the quantitative analysis. With the spread of the financial market and the large losing caused by financial risk, the management and operation of each financial organ has been profoundly changed, and the question of financial evaluation of risk has become a core business day by day. In view of this phenomenon, at present, a new criterion to evaluate the risk-VaR has appeared in the international financial market. The VaR model can settle many questions that traditional method can not do, and it is a new method to measure the complicated risk measurement of financial market.The open foundation has been launched in China. Securities investment foundations generally use a combination of investment principle, comparing with the closed foundation, the open foundation faces the pressure of redemption. It means that faced with liquidity risk. As a result, fund management companies need to consider a question of the flow of different securities with different risk, according to the fund management companies can bear the risk of their own to select the best investment ratio. And quantitative risk analysis is required to give, so I selected VaR approach to risk assessment and it is an effective method.The production of open foundation has epoch-making significance in stock market's history, and it already occupied the dominant position in the investment fund. However, along with the unceasing increase of its number, how to take effective measure s to guard against the risk of the open foundation has very important function to ensure its healthy development. So we should enlarge to the risk assessment of open foundation. Now in China, its research mainly focuses on qualitative study rather than quantitative one. The VaR model just calculate its precise risk value from the angle of the quantitative.This paper has carried on research mainly to VaR model, the risk assessment of open foundation and the application of VaR model in the risk assessment of open foundation, put the summary to predecessor's research results, has made a little improvement. People suppose W obeys the normal distribution as usual.In fact , at present the international thoughts is that the stock price obeys the logormal distribution.When the traditional VaR computational method is used in calculating the open style fund,it may overestimate the risk .The value of risk we obtained under the logormal distribution supposition must be more approach the actual value compared to under the normal distribution supposition. |
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