National Social Security Fund is a strategic fund, the key is how to control risk, based on increasing the value. Because the traditional method of risk measurement requires more stringent assumptions in computing variance of the portfolio, as well as other deficiencies, in this paper, we use GARCH-VaR model to do risk measurement and related inspections of National Social Security Fund, in accordance with return's characteristics such as spikes, thick tail, clustering. The paper uses Shanghai and Shenzhen stock markets' top ten stocks heavily held by the social security fund as samples for analysis, ranging from April 1, 2008 to September 30, 2010. The results of risk measurement show that the social security fund equity portfolio faced greater downside risk in 2008 and market risk have had greater impact on stock returns of social security fund. Thus China must improve the capital market as soon as possible to avoid a greater possibility of losing more on social security fund.
