Abstract:
VaR and CVaR are used to measure risk of financial products. In this paper, based on the historical data of recent two years (Oct. 2014~Sep. 2016) of the CSI300, CSI500 and 12 stocks from different industries, at first we compute VaR and CVaR by using nonparametric estimation method. Then, by using Bootstrap method, we recalculate the values of VaR and CVaR. According to the likelihood ratio test, Bootstrap method can improve the estimation precision of VaR and CVaR and then measure the risk more effectively.