A model of measuring financial risks based on VaR method and its application

Aiming at the measurement of financial risk,the paper compares several VaR methods and summarizes their respective characteristics and application fields.Through illustrating the actual effect of VaR risk management systems of main financial institutions during the subprime mortgage crisis in America,the paper discovers that there are limitations in the currently widely-used VaR model and its management systems in the extreme conditions.The conclusion is that VaR method would not acquire good effects unless it is combined with the overall judgment of economic and financial situation.