Analysis of Value at Risk on CSI 300 index via Extreme Value Theory

Abstract

Value at Risk (VaR) is a widely used tool in risk management. It is the most important method to measure market risk. In this paper we use Extreme Value Theory (EVT) method to calculate VaR compared with Variance-Covariance method, and then apply empirical analysis on CSI 300 index. The results show that using EVT method always acquires more accurate VaR under extreme conditions.