A Risk Study Of China's Bond Market

In 2007, the Ministry of Finance has issued a total of 35 government bonds, a total face value of 2.348344 trillion yuan issued at the end of 2007, China's balance of the bond market to 5.336553 trillion yuan, accounting for 2007 of 21.6 per cent of China's GDP. In the sense, the economy of our country becomes economy of the bond. The main investors of the bond market have already been composed of the commercial banks; investment subjects which agreement financial institution; personal investors and foreign investors and so on. And the main investors are getting larger and larger. And its trade is getting more and more active. Consequently, the scale of the influence of the bond is getting wider and wider to the economy and the power of the influence is getting more and more intense. The government and the folk have been paying attention to it.Analysis of China's bond market in the last 10 years of development data, regardless of circulation, the variety and balance of government bonds, the liquidity of the market, maturity structure, have achieved substantial progress. In recent years, China has gradually liberalized market interest rates; market-oriented interest rates will bring the inevitable risk of interest rate volatility, the vast number of Chinese enterprises and residents facing an ever greater interest rate risk. Along with the interest rate market, a change in a drastic fluctuation in the bond market prices, to cause tremendous losses to investors. Along with the interest rate changed times and again, the bond market prices changed in a drastic fluctuation, caused a tremendous losses to investors. How to provide bond market investors a hedge channel and enhance the attractiveness of the bond market, become a main problem in China's bond market development. It is of great significance for us to effectively measure and control the risk of the bond market and thus maintain China's financial security.As a risk measurement and management tools, VaR method has an unparalleled advantage, it can make all kinds of financial instruments, asset portfolio and financial institutions to quantify the risks of the market for a specific, simple values, so that managers can completely understand the biggest risk of his assets held in a certain period of time, and make a risk control with the financial product.This paper attempts to study on the basis of the former, systematically introduce and compare the VaR and its calculation, do an Empirical Study based on the Shanghai bond index. Comparative analysis the advantages and disadvantages of the different models and the market risk. Give relevant policy recommendations for the China's bond market risk supervision and control.