近几十年来,由于受经济全球化和金融一体化、竞争与放松管制以及金融创新与技术进步等因素的影响,全球金融环境和金融市场发生了重大的变化,随着我国加入WTO后,我国的经济也发生了天翻地覆的变化,金融市场的波动性和系统风险也大大加剧,风险管理成为工商企业和金融机构的核心竞争力之一,而风险管理的基础和核心是对风险的定量分析和评估,即风险测量。在目前金融市场风险测量的多种方法中,VaR自诞生以来就得到广泛应用,在国外已成为其主流方法。我国股票市场还存在许多不成熟不规范的地方,股票市场经常大起大落,加强风险管理势在必行。本文首先介绍了我国股市及其风险管理的发展现状,接着以深圳成分指数为例,分别用历史模拟法和方差—协方差方法计算了深成指的日VaR,并对结果进行了说明。最后,结合实证进行总结,并提出VaR在应用中应注意的问题。 In recent decades, due to the influence of such factors as economic globalization and financial integration, competition and deregulation, financial innovation and technological progress, the global financial environment and financial markets have undergone major changes. As China’s accession to the WTO, our country The economy has also undergone tremendous changes. The volatility and systemic risk of financial markets have also been greatly aggravated. Risk management has become one of the core competitiveness of industrial and commercial enterprises and financial institutions. The basis and core of risk management is the quantitative analysis of risk and Assessment, that is, risk measurement. Among the various methods of risk measurement in financial markets, VaR has been widely used since it was born and has become the mainstream method in other countries. There are still many immature and non-standard stock markets in our country. The stock market often fluctuates greatly. It is imperative to strengthen risk management. This paper first introduces the current situation of China’s stock market and its risk management, and then takes the Shenzhen Component Index as an example to calculate the daily VaR of Shenzhen Component Market by using historical simulation method and variance-covariance method, respectively. And the result is explained. Finally, with the empirical summary, and put forward VaR should be noted in the application of the problem.