Study On Financial Market Risk Management Based On Va R Method

Since the 20 th century,influenced by the factors of global economic integration, liberalization and financial innovation, huge changes in the global financial environment and financial market are taking place. The financial market volatility and risk are also increased greatly. The risk management technology is becoming one of the most important subjects of financial supervision. As a new method for risk measure and management,Va R has been widely used and become the mainstream method to measure market risk abroad. China’s financial market is a development of the emerging markets, the market risk will gradually increase with the development of financial market. The stock market is an important part of China’s financial markets, it is still in the growth stage and there are many immature and non-standard place. The market volatility is much higher than that of the developed countries mature stock market. Therefore, to introduce and promote the Va R method has become a pressing matter of the moment in China’s financial market risk measurement techniques.This paper begins with an overview of the theory of financial market risk management and environmental analysis into Va R method, which is based on the application of Va R in China. Then Va R method is described in detail, including the basic principles of Va R calculations, typical parametric and non-parametric methods of Va R calculation methods, test methods, and advantages and disadvantages of Va R. Then, based on the Va R algorithm to select the Chinese stock market, the Shanghai Composite Index, Shenzhen Component Index, banking stock index and the food index as the research object, using the combination- normality model and the GARCH model to do empirical analysis. The empirical results show that, Va R method can more accurately measure the risk of the stock market at a certain confidence level. Meanwhile, China’s stock market still exists a lot of problems, in the empirical analysis needs some assumptions in the process. The last part is the conclusion of this paper, including the empirical results analysis conclusion and some suggestions.The final conclusion of this paper is the application of Va R method in China’s financial market risk management is effective, and it can better predict the risk of the financial market of our country.