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Study On The VaR Application To Risk Management Of Chinese Commercial Banks

Posted on:2004-07-29Degree:MasterType:Thesis
Country:ChinaCandidate:Q ZhouFull Text:PDF
GTID:2156360095456847Subject:Industrial economy
Abstract/Summary:PDF Full Text Request
At present, the financial risks in our country mainly concentrate on the risk of the commercial banks. This paper firstly analysis the risk state of the commercial banks in our country, based on these analysis, put forward that to apply advanced risk evaluating techniques and risk management methods to the risk management of our country commercial banks will keep away risk effectively. After consulting plenty of literatures and interviewing some managers of banks, the author tries to introduce modern risk management techniques to the risk management system of commercial banks under the present conditions in our country. In the first part, the paper reviews the evolution from qualitative to quantitative risk management techniques of the commercial banks and analysis the deficiency in risk management of our country's commercial banks by facts and data. By the same time, the paper introduces a kind of advance risk management technique-Value at Risk, or VaR. In the second part, the paper studies how to use the VaR method to measure and control credit risk in terms of default rate and ranks of credit. In addition, the paper studies how to control internal risk of commercial banks under the framework of VaR so as to optimize the capital distribution and the management of portfolio. Finally, the paper give some advice on how the commercial banks of our country to set up modern risk management system under the condition of reformations of financial system and the more intense competitions.
Keywords/Search Tags:commercial bank, risk management, VaR
PDF Full Text Request
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