Commercial Bank Risk Management Basic Reserarch And System Development Based On Value-at-Risk

The development and recent situation of commercial bank risk management theory and system at home and abroad are systematically expounded in this dissertation, and some existing problems on this field in China have been emphatically discussed. On one hand, there are no unified theories and methods to control and manage commercial bank's risk at present, to solve the problem the comprehensive analysis and deepgoing study of the risk management theory based on value-at-risk have been made; On the other hand, the function of available risk management is single and lack of synthetical analysis ability, in order to solve these problems the new risk management system and risk supervisor system based on risk management theory are established by applying computer and network technology, and several risk management system prototypes have been developed. These results will be very helpful for commercial bank risk management research and risk management system development The main contents of the dissertation consist of the following two parts.Study on commercial bank risk management theoryCommercial bank risk "pyramid" and mainframe of commercial bank risk portfolio management theoryAfter analyzing risk types, function of risk management and the relation between risk origin and risk management department of commercial bank, the risk "pyramid" and the relationship graph of risk origin and risk management department are obtained. Based on mis, the risk portfolio management thought is formed and the risk management theory mainframe is constructed. All of these lay the foundation of building unified risk management theory and analyzing the compatibility between the new risk management theory and the classical asset-liability management theory.Quantitative risk measurementThrough analyzing and comparing various present risk measurements, the rationality of taking the value-at-risk as the risk measurement has been proved. To counter the special characteristics of commercial bank risk management, the capital-at-risk measurement based on value-at-risk is introduced. Their relationship and their calculating flow diagram are also discussed.Valne-at-risk calculating methods and risk management optimization model based on value-at-riskSuch calculating methods as variance-covariance, historical simulation, Monte Carlo Simulation, Scenario Analysis and Stress Test are discussed comprehensively; it will form the basis for the development of risk management system. The risk management optimization model based on value-at-risk is set up, and the one based on historical data is discussed emphatically, a numerical calculating algorithm is advanced. After analyzing the optimization model that maximizes die end wealth of an investor, a measurement like the remarkable shape rate is obtained under value at risk limitation.Credit risk management and asset-liability management based onvalue-at-riskThe feasibility and concrete implementation process for credit risk management and asset-liability management is formed. In credit risk management, the methods based on default rate or credit grade are detailed. In asset-liability management, the methods based on value-at-risk gap or based on value-at-risk duration are discussed, and the process and scope of applying these methods in risk management are explained too.Application of value-at-risk in the inner management of commercial bankThe principle of transfer price system, the valuing of transfer price and the uses of transfer price in commercial bank management are all detailed. The asset allocation system based on value at risk is designed. Based on the risk-adjusted return on capital (RAROC), the optimization model for commercial bank asset portfolio management is put forward.Development of commercial bank risk management systemMainframes of risk management systemThe principle for designing risk management system is analyzed in detail, and the process of preparing and planning for risk management system and the choice of development env...