中文摘要：

VaR的度量涉及到资产组合的未来市场因素分布、波动性以及定价三个方面。针对传统CAPM和GARCH方法的不足,作者提出了市场指数及证券（组合）分别服从独立的马尔科夫状态转换过程下的风险分解VaR模型——SSRM模型。模型能够分别呈现市场的系统风险和个股特有风险,在方法上允许市场指数、证券（组合）分别存在波动性的突然跳跃。凸出特点是既综合考虑了市场和特定资产的关系,又考虑了资产和市场风险的时变性特征。实证显示模型较经典的GARCH-β模型在VaR估计方面有显著优势。

英文摘要：

The measurement of VaR portfolio concerns and pricing. In this article the SSRM（Switching-Switching ket index and the securit, portfolio follow an inclononrtont three aspects, the distribution of future market, volatility Regime Model） is proposed which means that the market index and the security portfolio follow an independent Markov process respectively. In this model, jump of the market index and portfolio is allowed. The empirical study shows this model has obvious compared to CAPM model combining with GARCH model. the sudden superiority