Total-parametric Methods of VaR and Its Applications in Risk Management of Financial Market
风险价值的完全参数方法及其在金融市场风险管理中的应用

Value\|at\|Risk model developed recently is a mathematical model to measure and monitor market risk. This article puts forward a new model called total\|parametric method to calculate VaR, which is in essence the mixture of parametric method and extreme value theory. Research on stock market show that this new model gains an advantage over RiskMetrics which is a popular parametric method.