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

Under the infuence of factors such as economic globalization and finance integration,competing and relaxing control and finance innovation and technological progress,and so on,global financial environment and financial market have changed greatly.Meanwhile,the fluctuation of the financial market and system risk are aggravated greatly.Risk management has become one of the key competitiveness of the industrial and commercial enterprises and financial institution.The foundation of risk management is to measure the risk.As a new tool of risk measuring and management,VaR technique is used widely since it was born, and has already become the major technique to measure market risk abroad at present.Recently,there were many papers about the VaR method written by domestic scholars.Howerer,the present research mostly focuses on the mathematical method models,and don't structure the comprehensive risk management system.Therefore,This paper try to improve the current research trend,especially pay attention to the adaptability of VaR and the whole market risk management system about the application to VaR in the market risk management of financial institution of our country.There are five chapters in the paper.Chapter l introduces the history of techniques of measuring risk and discusses the background and application of VaR.Chapter 2 introduces the definition of VaR and the approaches of calculating VaR.At first,which draws the introduction of VaR,then describes several pairs of relations between VaR and traditional risk measurement,its localization in the risk management system,and mutual promotion of VaR and market risk supervisor.Chapter 3,this chapter presents a variety of the market risk that the financial institution of our country exists at the present stage in the investigation of the market risk resources and management level of financial institution of our country.Chapter 4,empirical test.This chapter uses one of the VaR models---the historical simulation method to calculate the VaR of Shanghai stock market and analyzed the conclusion.Chapter 5 summarizes the paper and give some propositons to construct the whole market risk management based on VaR in our country.