China's Stock Market Risk Var Analysis

Over the twenty years, With the development of economy ,the fluctuation characteristic of financial institution , especially stock market, increasing becomes evident .So that we should research the phenomena in order to know and supervise stock market. In this article ,I use VaR method to measure and analyze financial risks . VaR is a measure of maximum potential loss. To other techniques of measuring risk , the best advantage of VaR is that VaR can refer to the particular amount of money that the portfolio may loss at most at the given confidence level . The VaR models have gained general attention among academics and practitioners in foreign , but in our country , the study of VaR only in the four or five years .So in this paper , I try to give a systematic introduce of VaR and give empirical tests in Shanghai stock market and Shenzhen stock market.There are five chapters in the articleChapter 1 ..Introduction .In this part, Fist give the definition of china securities market risk. Second introduce the history of techniques of measuring risk.Chapter 2, Introduce the definition of VaR and the approaches of calculate VaR.Chapter 3,The Feedback testing of VaR model. This chapter presents a variety of feedback testing approaches to vaR model and indicates that mixed kupiec testing and simplified CD testing can effectively evaluate a VaR medel.Chapter 4,Empirical test. This part uses the VaR models to measuring the VaR of Shanghai stock market and Shenzhen stock market and analyzed the conclusion.Chapter 5, Introduce the definition of marginal VaR, component VaR and increment VaR and give empirical test.