Research On Market Risk Measurement Of Commercial Bank Based On VaR Method

With the liberalization of international financial markets, the volatility and linkage of market factors becoming increasingly, application of derivatives become more widespread under the background of financial Innovation. Since the 20th century, foreign financial crises and the bankruptcy of banks and securities firms become common; it is become key issues to find effective risk management tools, but also a difficult problem. VaR (Value at Risk) not only is a advanced measure of financial market risk, but also is internal model of Basel Committee's. VaR method is pursuit by various financial institutions because of that its results easy to understand. In order to improve the accuracy of market risk VaR measure, researchers design various distribution functions to improve the normal distribution, and achieved good results.First, the paper summarizes the results of previous studies on the application of VaR methods at home and abroad and inductive analysis the current situation. Taking into account the further opening China's financial markets, we think that VaR method is applied to measure the market risk of commercial banks and will have strong practical significance.Second, the paper describes the basic principle of the VaR method, and thinks it is a reasonable and effective way to using real data to test risk. While against the risk portfolio structure of commercial banks, inducting the marginal VaR, incremental VaR and component VaR provide effective guidance for the effective implementation of the optimal allocation of bank assets.Again, evidence for the country through the foreign exchange positions held by commercial banks face market risk in VaR measureEvidence for the country through the foreign exchange positions held by commercial banks face market risk in VaR measure, evidence found in normal market conditions, when the history of assets transaction for transaction price, the historical simulation method can better measure of foreign exchange positions combination of market risk faced by the contrary demands of the return series for distribution in the GARCH models assume that there exists in the evidence in the suspected overestimate the risk. VaR tools through three methods of empirical analysis shows a good combination of structural adjustment on foreign exchange position of the value of VaR. Tools in three VaR methods empirical analysis shows a good combination of structural adjustment on foreign exchange position Value of VaR.End of the article, we summarize the paper and propose to build the subject of VaR system outlook around the asset pricing issues. This paper makes some reference to the proposed to market risk management of commercial banks and hopes some try is useful in future work in the bank.