The Research Of Financial Risk Basing Of VaR

In 2008, all five major Wall Street investment bank collapsed, the subprime crisis caused by the rapid development of the U.S. real estate market evolved into a global financial crisis, the global economy has experienced since the 30s of last century the most serious recession. Certainly, this has also had influence to our country finance economy.Although the sub-prime crisis on China limited loss of assets of financial institutions directly, but indirectly the development of China's financial industry far-reaching impact.Under the background of the shaking current international money market, the study of risk management system of our country financial industry, has important practical significance on guard against financial risks and maintain financial stability.In 1996, "The amendment of The BIS Accord "proposed the the market risk capital requirements, banks are required to hold additional regulatory capital to address market risk arising from the transactions and made a calculation of market risk using VaR. In the draf of "BIS II" in 1999, the Basel Committee promote to use VaR to measure credit risk. In 2001 the Basel Committee proposed the management of operational risk, and in June 2004 this proposal was agreed by all participating members,and has been further updated in November 2005, in2007 it was implemented.This is said as "BaselⅡ". "BaselⅡ" identified the three pillars of financial risk management, namely, minimum capital requirements, supervisory review process and market discipline. The first pillar, the new Basel Capital Accord maked to strengthen the operational risk capital content, promoted to make use of VaR method to measure the market risk, credit risk and operational risk,use the new calculation way to calculate credit risk in bank accounts. Thus, VaR as an important risk management tool began to get the application and promotion in financial institutions. Among the quantitative analysis models,VaR method is considered to be the best way to measure market risk.It is to be widely used as a financial risk assessment and measurement model among the world's major banks, non bank financial institutions (including securities companies, insurance companies, fund management companies, trust companies, etc.) and financial regulators.Now the range of using VAR method is from the mangment of market risk to the other various types of financial risk, even foreign trade enterprises. VaR method has become an international financial risk management standards. Using VaR method to measure the risks is not only greatly increased the transparency of bank risk, also contributed to the bank risk management of visualization.Vigorous development and application of VaR, has the very great significance to our country's finance risk management technology thansform from qualitative analysis to quantify analysis. As China's capital market is becoming more open, market-oriented interest rates, and development of derivative financial instruments, the risks financial institutions confronting become more complex, so it is more and more necessary to management market risk, credit risk and operational risk comprehensively and integrally. VaR method can measure not only all aspects of risk in financial institutions, but also the quantification of risk; VaR method not only provided an incentive mechanism for financial institutions guarding against the risk of,aslo provided a market standard for financial institutions measuring risks. VaR method in China has a vast space for development, its promotion and application can make contributing for our internal risk management and external regulatory capacity to enter a new stage, aslo in line with international practice.This article is Based on the principle of VaR,and does a analysis of the current measurement technology of financial risks. At the same time,the essay does a comprehensive exposition and empirical analysis with the VaR measurement methods and models of market risk, credit risk and operational risk. Finally, in combination with the present situation of the development of the financial institutions in China, we made detailed analysis of the status of the VaR risk management in our application of the practical problems faced,then provide a reference for VaR risk management techniques applied in China.