Research on financial risk linkage measurement based on VAR method and EVT theory

Abstract

The financial market of China has gradually become matured in recent years, while the price of financial risks has also arisen accordingly, how to give play to the currency regulation and control in the financial market field has become the key topic faced by various-level governments, this paper puts forward a financial market price equilibrium model estimation method based on FB Bayes algorithm. Firstly, this paper, based on the effective restriction of financial institutions, financial market institutions, and credit agencies on the financial market price, establishes a financial market price equilibrium model estimation model, puts forward a FB compressed Bayes filtering algorithm to effectively handle the noise and uncertainty problems existed in the financial market price, realize the effective estimation on the financial market price equilibrium model, deeply analyzes the influence of monetary policy on the price trend of domestic financial market. The experiment result shows that in view of the financial risk prevention of the financial market price in our country, the country should formulate prudent polities for cooperation to effectively reduce the credit value ratio of financial market field.