An Empirical Study On VaR Model In China 's Stock Market

Because of the us subprime crisis, a new round of global financial crisis broke out in2007. The crisis has wiped out Wall Street’s five big investment Banks.Today, it still has a great negative effect on the global economy. Behind the crisis, because of the market for the continuous development of the subprime mortgage derivatives lack of comprehensive risk management effectively, and the tragedy happened finally. In recent years, VaR method has gradually become a finance risk measuring method that is always adopted by most foreign financial institution.Moreover, it has the advantage that can not be compared to other measuring method. Undoubtedly, for further improving risk management method is a question of great theory and practical value to introduce VaR method into the risk measuring of securities market.This paper includes five chapters and proceeds as follows:At the beginning, the paper briefly the research background an significance of the research, and the literature review, and introduces the contents and structure, the research ideas.Chapter one, risk an security market risk definition and its characteristics are briefly discussed, and security market risks are categorized.Chapter two introduces all kinds of securities market Risk measurement methods.Chapter three, we introduce models for VaR computation, especially historical simulation method, Monte Carlo simulation method, and analytical method, and then compare them in detail.Chapter four introduces the model of VaR in the practical application of stock market in our country. Taking the SSE180index as the research object, and using the three kinds of method to calculate VaR, then inspecting and evaluating the accuracy of the results by failure frequency test method.Chapter five is the end of the paper. It summarizes the research results of this paper on previous discussions:the calculation of VaR has some limitations when we use historical data method, Monte Carlo simulation method and the normal distribution model of analysis method, it can not accurately measure long-term risk. And the marketization of our stock market is not mature, we can not use it sufficiently and effectively. So, the model of VaR is not suit the SSE180index at the present stage. Finally, I offer some advices about risk management on Chinese stock market.