The Establishment Of The System Used To Evaluate The Managing Risks Of China's Commercial Banks

With the development of our country's finical innovation, we haveestablished a bank system in which all kinds of commercial banks compete with each other, and develop together. In this system, the commercial banks have become the corporations which manage independently, take on the risks arising from themselves, and operate under the management of the central bank. Because China's economy is in a special period called transferring period, our country's commercial banks have faced some managing risks during the course of operating, and these risks including credit risk, liquidity risk, interest risk and investment risk have some negative effects in the banks' development, and hinder the increase of our country's commercial banks' competitive abilities. But we must point out that the commercial banks of China have used different ways to evaluate their risks, and this will bring some problems to the central bank whose duty is to monitor the risks of commercial banks. Under this situation, establishing a suitable system which can be used to evaluate the commercial banks' operating risks will play an important role in both dealing with the challenge coming from entering the WTO and improving the level of bank managing. This is the significance of this thesis.During the course of establishing this kind of system, we have adopted some advanced instruments and analyzing ways, and used VaR (value at risk) as the base of making models. We also have used regression and historical simulation to evaluate the risks existing during the course of commercial banks' operation, upgraded these ways to make them cooperate with China's economic practice, pointed out some indexes and concepts which have practical significance, expanded the academic fields, and connected the normal ways and practical ways together. In this thesis, we have paid more attention to the practical research.In this thesis, we have made some academic creations: we have used some new ways to evaluate the instant value of forward loans and made the credit transferring matrix, so we can evaluate the credit risks precisely; we have pointed out the concepts of liquidity gaps and interest gaps, so we can evaluate this two kinds of risks; we have found some ways to evaluate the risks of Foreign Exchange Forward Contract and Interest Rate Swaps; we have used VaR to make a model to evaluate the risks existing in the bonds investments, so we make it possible to control the risks of investment risks. In this thesis, we have made some middle variables, such as liquidity gaps andinterest gaps, so the task of controlling risks is not a difficult thing any more.In this thesis, we have analyzed all kinds of risks existing in the process of commercial bank managing and constructed some models of these risks except the risks which are created by people's action. By using these models, we can evaluate the credit risks and investment risks, and can regulate the dangerous extents of liquidity risks and interest risks. All these can bring much convenience to some work, such as commercial bank managing, central bank controlling and achievement evaluating.Meng Qing-gang( Finance) Directed by Professor Piao Ming-gen and Professor Dong Fan...