The Application Of Portfolio VaR

The VaR method, which outshines other traditional risk management methods in so many ways, is now very popular in internal risk management, information disclosure and performance evaluation in developed economies.This paper covers: the comparison of different volatility estimate methods; the deep discussion of three major VaR calculation techniques; the cutting edge development of VaR; and the complementary method to VaR-stress testing..This paper is constructed in a pragmatic and innovative way:This paper distinguishes itself by means of analyzing real investment portfolio involving interaction rather than one specific stock or stock index .This paper concludes techniques of VaR, portfolio outlook; risk-return indexes and stress testing. All these methods as a whole present a comprehensive picture of risk management.