| In recent years, affected by the economic globalization, finance integrity and the creation of some financial tools, global financial market has developed quickly and its severe volatility has become more and more significant. Since the Southeast Asian financial crisis, financial-risk management has received the general concerns of various countries. Various methods of financial risk management appear in succession, and among them, the VaR model, as a new kind of financial risk management, has got the extensive approval and support in 1990s. Compared to the traditional model of financial risk management, it is easy to operate and has more relevance and significance of investment information. It has become a mainstream method in the way of the international market risk measurement, performance assessment and monitoring information disclosure. In the case of China, in the context of the growing internationalization of the Chinese economy, it is necessary for the financial supervision authority to adopt some interchangeable risk management standards to raise the level of supervising. In a word, there will be important realistic meanings to introduce and popularize VaR method for the domestic financial institution strengthening risk management, implementing authority's internationalization and raising the level of supervising.The concepts and theories related to financial risk and financial market risk management are discussed in this paper firstly, and then the common definition, the hypotheses and the calculation principium of VaR are analyzed in detail. Finally we make some empirical analysis and tests based on the true historical return data of Shanghai stock market, and we also calculated the result of VaR using variance-covariance and historical simulation. The result has important meanings for us to make further exploration. Besides, this text has made preliminary exploration for VaR method application in our country. |
