Research On Commercial Bank Risk Management Based On VaR

VaR is thought the international standard and theory basis of modern bank risk management, which is increasingly applied to international flourish bank. The paper follows the spirit of New Basel Accord on bank risk management to research bank risk management based VaR, which is of important theory and practice meaning to how to improve the risk management level and reduce the international distance of china bank industry. The paper first systematically introduces theory basis and calculation methods of VaR and its deficiency . Then the paper analyzes the relation between VaR and CaR, puts forward the commercial bank general risk management construction based RAROC and the thought of collocating CaR based unification VaR by contacting china finance development condition. As in Merton(1974),the value of the banks assets V is assumed to follow a geometric Brownian motion, the paper analyzes the relation on bank audit intensity and bank risk strategy by importing supervision mechanism. The paper builds up the parameter and nonparameter methods to calculate VaR based on Duration model in bank balance sheet. The paper analyzes geometric solution of mean-VaR model and its limit, establishes the bank investment and financing model based on VaR. Because VaR doesn't fulfill coherence risk measurement and tail loss measurement, the paper establishes portfolio optimization model which includes trade-off cost, dealing limit , capital restriction and investor risk tolerance. As a result of series of international bank loss affairs arose intensively internal demand to operation risk management, at last ,the paper brings forward bank general risk management frame based on VaR and application propose.