The Research With VaR Risk Management Approach In Our Financial Institutions

In 2008 the U.S. financial crisis set off a wave of risk management research. VaR approach to risk management has become the the mainstream approach risk management in world financial industry .But the outbreak of the financial crisis forced us to rethink on this technology deeply. The true sense of the financial industry risk management theory began in the 20th century, 50 years Markowitz's modern portfolio theory. After a number of scholars to further study, Black - Scholes option pricing model was appeared.However, these traditional risk management techniques can not adapt to the rapidly changing financial environment. 1993, G-30 study has proposed a VaR approach to risk management. Introduced by JPMorgan's Risk Metrics used to calculate the VaR risk control model is widely used by many financial institutions.In this paper, in the backdrop of the U.S. financial crisis, VaR risk management model was theoretical and empirical analysis. I briefly introduct the VaR methods of production, development and calculation of the theoretical, studies were reviewed. And then deeply analysis the evolution of the U.S. financial crisis and the financial transactions that exist a variety of risks, summarized inevitable link between the crisis and VaR risk management models. Then, combined with China's financial market conditions, with empirical analysis , draw the conclusions that using VaR risk management model in China's financial institutions should pay attention to aspects.This empirical part is selected from 1997 to 2002 of China's Shanghai Composite and Shenzheng Composite as a sample, calculate the VaR values under different methods of VaR. By comparison, draw the following conclusions: (1) China's stock index portfolio returns do not obey normal distribution; (2)The historical simulation method fail most frequently, and show that risk management models overestimated the value of the portfolio VaR; (3) Different ways to predict the VaR risk measure values are different, the international financial market shoud develop a uniform disclosure standards, reduce the risk of losses caused by model as soon as possible; (4) The failure frequency of inspection and return to test the accuracy of VaR risk management model depends on the test sample size, the more test sample size, the more likely to reject the wrong VaR model, the higher the accuracy of the VaR model validation tests. Analysing text comprehensly, drew the following policy recommendations: (1) Further improve the risk management system, set risk limits; (2) Strictly control model risk; (3) To study the stability of systematic risk; (4) Risks associated with their own and equal concern; (5) To consider the link in the market risk, credit risk, and business risk; (6) to strengthen financial supervision, improve risk supervision.