A Comparative Study Of Listed Company’s Industry Risk In VaR Model Based On Extreme Value Theory

With the increasing complexity of the financial environment, the risk evaluation the financial industry has been widely attention of scholars. The investment decisions of investors need to focus on industry risk factors. A scientific and effective risk measurement to evaluation the industry risk is an urgent need to solve the problem. Our researches don’t have a systematic comparison of the various methods of the research industry risk. The use of incorrect research methods may lead to unsatisfactory results of measure of industry risk. Since the1990s, the extreme value theory has been used in the field of financial risk management. Nowadays extreme value theory has been widely used in risk management. In this paper extreme value theory will also introduce to measure the risk of the CSI300Sector Index.This paper first reviews the various metrics of risk at home and abroad. Method to calculate VaR estimates to assess the risks is more commonly used methods of modern financial risk management. Then build four computational model to evolution the risk of CSI300industry index date number of yield risk, they are based on the variance-covariance model to calculation VaR, based on GARCH model to calculation VaR, based on extreme value theory to calculation VaR, based on GARCH-GPD model to calculation VaR. Theoretically, the theory behind the model is improved on the previous model, the model’s theoretical support more and more complete, the computing of model is becoming more and more complex.But theoretical precision is not the same as the exact practical application. This article use VaR return test model to test four models VaR estimate, analyzed and compared every model. The empirical results show that:based on the variance-covariance model to calculation VaR and based on extreme value theory to calculation VaR is don’t appropriate. based on GARCH model to calculation VaR is more appropriate. based on GARCH-GPD model to calculation VaR is best appropriate.Meanwhile. Sort the risk of CSI300Sector Index date on the number of yield risk results from model calculations. Utilities, pharmaceuticals, optional sector these three industry low-risk industries; material, financial and energy sector these three industry high-risk industry; Information, consumer, telecommunications, industrial sector these four industry medium-risk industries. This article concludes the full text, and to explore some of the extreme value theory, and the future of the financial risk measurement methods on the theory and practice of research direction.