Improved VaR Methods For Chinese Treasury Futures Market Risk Measurement

In recent years, a series of international financial markets sufferd from the U.S. subprime mortgage crisis, the European sovereign debt crisis. Financial institutions are more sensitive to fluctuations in international financial markets. With the internationalization of the RMB and the impact of the interest rate market in our country, financial institutions are also rising interest rate risk for attention. September62013, CSRC officially approved the restart of5-year treasury futures contracts. Restart treasury futures for financial institutions to provide an effective tool to control interest rate risk. Therefore, the study of Chinese treasury futures market is also becoming increasingly important.After this paper describes the research status at home and abroad market risk management VaR methods, it describes the traditional VaR methods and principles, and systematic exposition of the basic principles of improved VaR methods. Finally, using2013the high frequency of treasury futures data for the sample data, The improved VaR methods are applied to our emerging treasury futures market. Comparing the improved methods of VaR with traditional VaR methods in treasury futures market risk. The effect of using improved methods of VaR are better than traditional VaR methods. Using BMM model and POT models in Variance-covariance method based on EVT theory are the best.The main innovation of this paper consists of two parts. Firstly, the content of our research is emerging treasury futures market, most of the research focuses on risk management in stock index futures market. Secondly, In this paper, it summarized the traditional VaR methods and improved VaR methods and for the first time to compare the improved VaR methods with the traditional VaR methods.