This paper applies the multivariate GARCH and Extreme Value Theory to construct asset portfolio risk measurement model.This paper applies multivariate GARCH to model covariance matrix of asset portfolio loss,and to calculate the standardized residual series of portfolio loss,and then applies EVT to model the extreme tail of standardized residual series,and measure portfolio dynamic extreme risk,at last,this paper applies Back-testing method to check the accuracy of the different risk models.Our result show that multivariate GARCH model can capture the time varying correlations of different losses effectively; the distribution of extreme tail is close to GPD; multivariate GARCH and EVT can measure the dynamic risk of asset portfolio accurately.