Abstract: According to the statistical properties of g-h distribution,three g-h VaR methods are presented in this paper based on the return,loss or extreme loss of the portfolio.These methods compound the merits of History Simulation method,Analytical method and the Extreme Theory method.Research on stock market shows that these g-h VaR methods gain an advantage over Delta-normal method.

Key words: portfolio, VaR, g-h distribution, g-h VaR