Amercian Risk Measuring Method And Empirical Analysis In China

Financial crisis had dealt a heavy blow to the world economy, people began to reflect on the reasons for the crisis,they found that lack of risk management is the key reason for this crisis and recognized the importance of enhancing risk management.Risk management is an important factor for financial institutions.Research and analysis advanced risk measuring method will heip China enhance risk management level,improve our ability to control risk.In this article,first we introduce the definition of financial risk and the formation mechanism of risk,the importance of risk management and so on. We also analysis American risk measuring methods. The purpose of ours are learning advanced risk measuring methods, so that we can use it. In order to test the validity and applicability of VaR method in China, We use VaR method to measure the risk of China's stock marketThis article is divided into five sections except preface.SectionII introduces the definition of financial risk, the formation mechanism of risk and the importance of risk management. Because of the defect of risk control mechanism, the financial crisis has brought the world economy a tremendous blow, people have a new awareness of the importance of risk management.Section III introduces credit risk, market risk and operation risk management method. In the credit risk measurement methods, we introduces guests credit risk rating method,debt rating method,portfolio risk measurement method and sovereign risk measurement method.In the market risk measurement methods,we introduces sensitive method,volatility method ,VaR method and scenario method. In the operation risk measurement methods, we introduces advanced measurement approach(AMA) and actuarial method.Financial risk has a complex mechanism,only if we study risk management method from a global point of view,so we develop corresponding strategies. From the study of American risk measuring method,we can find that every model has its own strengths and drawbacks.In sectionIV, we introduce several risk management models,such as CreditMetrics Model,Credit Portfolio View Model,CreditRisk+ Model and VaR Model.We introduce VaR Model in detail. VaR is the most popular risk measurement model in the world,it can measure different type of risk and it is very easy to understand the result of this model. But this model is based on normal distribution and it can not describe the tail risk, so stress testing is a good supplement of VaR. International Banks increase the frequency of implement of stress testing after financial crisis.In section V, we discuss the status of China's risk management and the inspiration of financial crisis. China's financial market is not developed well, now many financial institutions still use traditional risk measurement method. After the empirical test of VaR model in China's financial market, we found that in China these models also have strong applicability.The innovation of this article is that we measure the effectiveness of VaR method in China, at the same time; we add HongKong data in empirical analysis.The drawback of this article is that the result of the empirical analysis is not timely and accurate than international financial institutions. Every model has its own assumptions, these assumptions may be not suitable for the real financial market. In the practice of risk management, we should combine several methods together, analysis the reason of the risk and avoid the financial crisis.