Improved Model of VaR

Abstract：The method of VaR measurec the most loss of asset under a certain confidence level, and points out the risk that the investment portfolio faces, but it doesn't tell the rate under which the VaR value of investment portfolio is the least.To this problem, we post Delta-Search Method, on the basis of Delta-Normal Method and Monte Carlo Simulation Method, and apply the real data of security market to compare with the results of Delta-Normal Method.The results show that Delta-Search Method can identify the best investment rate.Under this rate, VaR value of investment portfolio is the best.Delta-Search Method can help investors to asset allocation appropriately.

Keyword：VaR;Delta-Normal Method;Monte Carlo Simulation;Delta-Search Method;