Improvement and Empirical Research on VaR Model Based on Historical Simulation Method

摘要

VaR method is the mainstream technology to measure market risk in the current international financial field. As one of the basic VaR methodologies, Historical Simulation Method(HS) is effective and widely accepted and adopted by many international financial institutions and governments. However, there are still many aspects to improve it. On the basis of a review on domestic and abroad literature of Historical Simulation Method, this paper brings forward an modified VaR model based on historical simulation method. This method is applied to the empirical analysis and backing test on China’s Shanghai Securities Index, and it is also compared with the traditional method of historical simulation. The results showed that the modified VaR model which is based on historical simulation has more advantages.