| In last 20 years, as a result of the factors such as economic globalization, financial integration, modern financial theory and financial innovation, global financial market developed rapidly. Meanwhile, financial market presents unprecedented fluctuation; commercial enterprise and financial institution are facing growing financial risks. Financial risk has not only influenced the survival and normal operation of commercial enterprise seriously, but also formed threat for the steady development of finance and economy. Particularly after the 1990s, the world financial crisis frequent outbreaks. Therefore, it is very important to establish a good risk management system for the organization or company that has higher level of management. Financial risk management has become the key ability to survive and develop for financial institution and even all the enterprise.In the method of financial risk management, traditional asset liability management relies on form analysis too much and lacks timeliness; the variance method is too abstract; CAPM can not apply to financial derivatives. In 1994, J.P. Morgan put forward VaR method. Now, this method has been adopted by numerous financial institutions extensively, and has become the mainstream method to measure market risk for present financial circle.At present, the VaR research in our nation mainly concentrates on historical simulation and analysis method. On the foundation of analysis method, they use various distribution assumptions and estimated model of fluctuation to solve the problem of the fat tails of financial time serials and the clustering phenomenon of volatility. Monte Carlo method is a kind of whole value estimated method and need not assume that market factor obeys normal distribution. So, it-effectively resolved the difficulty of analysis method in handling the nonlinear and non-normal problem. However, recent empirical evidences show returns of most financial assets are characterized as being leptokurtic and fat-tailed. So the general Monte Carlo... |
