The Application Research Of VaR In Commercial Bank's Exchange Rate Risk Evaluation

The commercial bank's risk management has always been the important researching object of the theory and industry field. Especially, since the 1970s, the world's economy and finance environment experienced the Bretton Woods System's disintegration, how to manage the commercial bank's exchange rate risk has more become the focus point of the theory field. To make risk management more impersonal and scientific, more and more quantitative analysis technologies have been applied in risk management. A great deal of statistical models have been used to identify, measure and detect financial risk.As a kind of advanced tool used for quantitative analysis, VaR (Value at Risk)has been approbated by the international financial institutions and applied widely in measuring various financial risk. On the bases of our country's current exchange rate system and the current situation of our country's commercial bank's exchange rate risk management, this paper make a deep research on the application of VaR in our country's commercial bank's exchange rate risk management. In this paper, I choose two typical methods of VaR model—Delta- normality and history simulation, using which to measure the exchange rate risk of our country's commercial bank's foreign exchange assets, this kind of research supplies practice proof for the theory models' feasibility, and I believe it is also useful to our country's commercial bank's exchange rate risk management...