| VaR as a more comprehensive method of risk measurement, often used as a tool for financial risk monitoring by the international financial Institutions. VaR with probability theory as the basis, which can directly and accurately reflect the market will face the size of the risk, and thus can directly provide a convenient way for investors to quantity the risk.In the paper, I mainly introduce the definition of the VaR, and three calculating methods, such as: Historical Simulation,Variance-covariance method, Monte Carlo Simulation. I also compared VaR method relative to traditional algorithms’ advantages and disadvantages. At the same time, I compared and analyzed three algorithms for the calculation of VaR method. I also described the rate of portfolio return. Then, the VaR GARCH model of the stock market is simply described. Respectively, for the historical data for our exisiting securities stocks, use the data for calculation model of historical simulation method,Monte Carlo calculation model, and the time series analysis model of risk value.Through the calculation, we know the risk value that the portfolio will face. Finally,in this paper, I have made a brief summary. In summing up the papers focus on the content, I also point out the deficiency of this paper, and these shortcomings need us to continue research and proved that in the future. |
