Risk Management Of Universal Bank

The American subprime mortgage triggered the global financial crisis. Consequently, financial risk management began to become the focus of attention. Based on the former's theories of finance and economics, first, this paper, from the market risk, involves that loan bank utilizes Monte Carlo simulation of VaR and stress testing for investment portfolio to measure market risk and makes out hedging strategy to reduce loss with SAS software. Secondly, from the credit risk, this paper gives lending bank two scheme of CreditMetrics Model and computering the value of credit risk of loan portfolio from risk exposure and recovery rate perspective to analyze the loan risk. Subsequently, lending bank uses CDS and TROR to hedge the loan risk; this paper explores the scope of reference asset of TROR; in addition, this paper presents ABSs based on commonweal loan to improve efficiency of funds. Thirdly, from the operational risk, this paper proposes that bank should use signal game to resolve the relationship between risk management section and business section of bank, and apply Principal-Agency game to cope with the relationship between the Bank and Traders. At last, from the comprehensive risk perspective, the paper presents a system of bank integrated risk management. Moreover, considering TRM, this paper makes the best of economics theory of consumption utility and wealth to build function relation between utility and fund of the trader to explain his personal preference, and use the relationship between return and variation of return to establish the system of reward and penalty. Furthermore, this paper adopts the case of real estate market in Beijing to explore the risk from real estate investment and housing loan to reduce bank risk from them, and accordingly, bank plays a supporting role in state economic function.