After the financial crisis started in 2007, the one of key challenges is to improve the VaR (Value at Risk) method in measuring risk by financial industry in the practice such as Basel III addressed, thus it is so important to find or establish any new method to measure VaR. In this talk, based on the new concept called "G-Risk" from the nonlinear expectation theory developed by Professor Peng since 90's , combining with the case study for the gold markets, we will show how to use G-risk concept to develop a new methodology in measuring Risk in financial markets.

This new methodology will not only overcome the shortage of the traditional Value at Risk (VaR) such as the coherence, sub-additional properties, but also show how the G-risk method allows for the adaptivity due to the sensitivity of financial markets in the practice.
At the same time, I will share how the challenging faced by the practice of financial industries in the practices.