With the development of financial liberalization and emerging technologies, various financial derivatives have emerged, leading to robust growth in China’s securities industry while also introducing greater market risks. This article, based on the stock trading prices of six Chinese publicly-listed securities companies, employs the Monte Carlo simulation method, MC-Box-Cox model, and MC-GARCH model to predict the Value at Risk (VaR) for trading days and conduct backtesting. The research results indicate that China’s securities industry faces significant market risk, necessitating the use of VaR values at high confidence levels for risk management. The Monte Carlo simulation method has the drawback of underestimating market risk. MC-Box-Cox and MC-GARCH models demonstrate relatively good predictive performance and can effectively measure the market risk in China’s securities industry.