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April 8, 2005 , the Shanghai Stock Exchange and Shenzhen Stock Exchange jointly issued the Shanghai and Shenzhen 300 Index , the launch of the index greatly promote the development of the index class financial products and their derivatives . CSI 300 index on the basis of the July 2, 2007 , from the Shanghai and Shenzhen 300 index derived from the 10 sectors index , the index of the consumer sector , the industrial sector index materials sector index , the index of the financial sector , the index of the energy sector , telecom sector index, the index of the pharmaceutical sector , the public sector index , the information sector index , optional plate index . The breakdown of the index to the development of the financial market brings more reference index also provides additional reference information for building the types of financial products . With economic development , the risk of financial markets and their derivatives are more and more complex , and more and more difficult to measure and monitor , need more powerful methods and means to measure the risk . With the in-depth study of the value of risk , the analysis of the sources and causes of risk , the objective need for further subdivided to different parts of the portfolio risk analysis, modeling and forecasting , effective management , in order to adapt to the development of financial markets requirements. How to be more effective risk measurement and regulatory risk segmentation research increasingly urgent . Decomposition on the basis of risk measurement , VaR (Value at Risk) of the total risk of the portfolio , and that comes from a different part of the risk in the portfolio analysis . Ingredients VaR, incremental VaR historical simulation method , variance - covariance method , TGARCH method and Monte Carlo simulation method and four methods total risk decomposition marginal VaR, CSI 300 Index and the breakdown of the 10 sectors index constituent empirical analysis , drawn from the size of the plate index risk , risk managers and investors to provide investment advice . The research results show that the future trend of market risks , estimates 10 sectors index of marginal VaR, the component VaR, incremental VaR four methods , the variance - covariance method and Monte Carlo simulation by the failure rate of test , empirical analysis shows that the variance - covariance method can better describe the risk profile of the 10 sectors index .
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