The Applied Study Of VaR To The Market Risk Management Of Financial Institutions In China

The market risk degree in the financial institution manages is strengthened constantly by the influence of many facts that the price mechanism reform of financial market of our country is accelerated greatly, internationalized trend in management is becoming more obvious, and the pluralistic process of business makes first appearance. The existing market risk management level still allows of no optimist, which is limited by the backwardness to whole risk management. Introducing the major scheme of this international risk management of financial market of VaR, become more realistic choice in order to face the competition of financial circles straightly, and improve the management level of the risk.This paper especially pay attention to the adaptability of VaR and the whole market risk management system about the application to VaR in the risk management of market of financial institution of our country. Analysis to case that Bank of China carry on, discussion of the question "observation period choice of length" in using historical VaR of simulation, and emphasis on giving play to the role of supervising the authorities while using, which reflect the thesis try to look for some break on the theoretical opinion and applied thoughts.The text part details the basic content of the risk management system of the market at first, which draws the introduction of VaR, then described several pairs of relations from the points of view using VaR: difference and complementarities exiting in VaR and traditional market risk measure, its localization in the risk management system of the whole market, and Mutual promotion of VaR and market risk supervise. Firstly, it announced the risk of staple market that the financial institution of our country exists of the present stage in the investigation of the risk degree of market of financial institution of our country and management level, secondly analyzed that may strengthen several factors of the market risk in domestic financial institutions, thirdly carried on case analysis on market risk and management level faced by bank of China.And then examine the real example to the dependability of VaR, which regard the composite index of Shanghai Stock Exchange as a financial product that can make the investment, use the historical simulation law to calculate its VaR then consult two commonly used VaR test stone afterwards to draw the relevant real example conclusion. The thesis has also especially paid close attention to the influence on VaR result of calculation with different choice of the length in different observation period.The paper believes that supervising authorities and financial institutions themselves should take part in the course of promoting the market risk management level. The regulator should implement" supervising and goes ahead of the rest" strategy and " guide rationally " at the same time. The financial institution should draft the risk management objectives and policy suitable for oneself, create the basic environment that VaR uses, and combine the risk management procedure, these three respects are equally important.