| Since China has joined WTO, its financial industry will have to be faced with the challenges from the world. According the developing trend of international financial industry, the traditional boundary of industry is becoming vague, the global mixed operation trend is realization of comparative cost theory in reconstruction of funancial market, and is the inevitable result of market development. Mixed operation will expand commercial banks' business, meanwhile the economy is becoming more market-direct, more and more market risk will confront the banks. So it is an important and urgent task to search for fitful methods to manage risk.The risk estimation of the exposure to market risks as the risk-management's core, the author first analyses the status of commercial banks in China, then makes a comprehensive systematic analysis VaR(value at risk), introduces the origination, development, status of VaR, illustrates the definition of VaR and some calculation of it, such delta-gamma, Historical simulation, Structured Monte Carlo, then introduces VaR backrest method, chooses four underlie assets which are represented by CITICS&STANDARD POOR 300 index, CITICS fund index, CITICS treasure bill index and portfolio constructed by the three index, and has finished the empirical study on the four assets with three VaR models respectively, compares the suitability of three above mentioned models synthetically, and has the backtest, finally a substantive suggestion about the applications of VaR models to the financial markets risk management of our country is provided.With the development of our country's security markets, the global mixed operation is the inevitable result, the augmentation of market risks will surely lead to risk management innovation and identity to international standards. Therefore, the research of financial market risk management signifies a lot not only in a realistic sense, also in a guideline sense. This is just where this paper aims. |
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