The Empirical Research On Risk Measure In Stock Market About Past Few Years

International money markets are under unparalleled development because of the application of new technology through information age coming several decades. With the acceleration of financial globalization, the markets have been filled with plenty of fictitious capital by the promotion of Finance Engineering and finance theory. The risk of money market gradually exposed pursuing capital revenue.The risk can be interpreted as uncertainty of future revenue in economics, high risk also accompanies with high return, speculator who lead the risk into financial market harboring fortune, desire and greed. The paper analyzes Chinese money market in preliminary stage, choose loss series of ten year's Shanghai Composite Index to determine the reservation of Venture Capital from getting VaR and ES.Firstly, it analyses sharp fluctuations and damage about international and home financial market putting background and significance of research as its initial point. On that basis, chapter two gives the risk measurement of single asset and portfolio, builds asset residual series on the condition of non-IID time series and models the new series. Then we can get threshold u, and solve the parameter values by MLE according to the requirement of GPD contained in EVT. It enumerates the measurement in obtaining VaR and ES about tail-related portfolio, aimed to provide a method of risk value about portfolio preference in theory nowadays. Secondly, we get proper method to measure risk value through analyzing model-realization ways. At last, on the basis of theory and method, we can model for time series with unusual fluctuations of Shanghai Composite Index and receive conclusion.For what we consider, on the direct of theory and measures, the paper rejects VaR which only describes the tail extremum, contrarily accepts ES method describing all the tail for managing risk on high confidence level in financial market with unusual fluctuations. As the last ditch, ES will do well in measure for forecasting risk. Consequently, it is important to conduct press test and other high confidence measure with time losses series of unusual fluctuations, from we can get accuracy in reserving risk capital.