Research On Commercial Bank Capital Optimization Based On VaR

As China's accession to WTO, the influx of foreign banks has brought the operation and development of commercial banks unprecedented pressure. At the same time, as China's commercial banks melt into the world financial markets, it will face more growing uncertainty. Optimizing the capital of commercial banks in a reasonable, effective way to ensure commercial banks derive maximum benefit with the minimum capital constraint has become China's commercial banks' major problem currently.Basel Accord in 2004 indicates that Capital is not only the guarantee in maintaining the public confidence, but also the last line of defense in resisting all kinds of risks. It regulate that minimum capital adequacy ratio of commercial banks is 8%, while core capital adequacy ratio is 4%. But in various commercial banks, there is a huge difference in their risks. What is the minimum level of commercial banks? Departuring from the goal of maximizing commercial banks' valuation, how much capital should be held in static and dynamic conditions? Commercial banks capital be? In this paper tries to ,based on VaR, optimize the capital of commercial banks in the static and dynamic conditions, so as to provide a basis and recommendations to optimize the capital of China's commercial banks .This paper is divided into five chapters combining the research methods of inductive and deductive, theoretical and empirical, qualitative and quantitative, It tries to explain the capital optimization theory and its application in China's commercial banks. The first chapter is Introduction, which introduced the background and significance of this paper; Current research fruit on such theoretic both home and abroad; framework and line of thought of the paper, and innovation of the paper. Chapter two research theories of commercial bank capital optimization, introducing the definition of commercial bank capital optimization and its targets; establish the theoretical framework of bank capital optimization, based on VaR. The third part constructs capital optimization models of commercial bank. Optimize the capital of commercial banks from the static and dynamic point. The fourth part is the empirical part. using the models of Chapter three to optimize the capital of commercial banks and summarizes countermeasures and suggestions of commercial banks' capital optimization in China.