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Var Model-based Commercial Bank Risk Monitoring System Design

Posted on:2005-05-31Degree:MasterType:Thesis
Country:ChinaCandidate:Y ZhongFull Text:PDF
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In the financial environment of risk, the commercial bank could be safe to run steadily and there is great influence on the development of the whole economy. So, it is a great problem that governments of various countries pay close attention to the risk supervision of the commercial bank. And the development of risk supervision is closely related to commercial bank. So, according to the risks that the commercial bank face, the supervising organization should constantly adjust the means and methods of supervising.VaR (Value at risk) is a newly appeared financial risk management tool in recent years, which is a method that uses statistic thought to evaluate the financial risk. Because its concept is simple, easy to be understood and it offered the unified method to measure the single and complicated risks, VaR has become the main method that quantity the risk of financial market at present. Because it is used extensively in the commercial bank, VaR model is included in the supervisory system that made by the committee of Basel. It has a very great impact on financial supervision.However, supervision level of our country has lagged greatly compared with that of western Central Bank of developed countries. So it is important to introduce VaR method and carry on quantitative analysis to credit risk and market risk of the commercial bank. And the author thinks our country should build up the information construction to supervise the financial risk, along with the development of technology of the computer and technology of the network. It has already been an inexorable trend that people supervise the risk with computer system.The thesis is divided into five chapters mainly. The first chapter is the comprehensive analysis of the supervisory system of our country. It firstly discusses the content of bank supervising. After analyzing the theories of risk supervision in the western developed countries, the author thinks that our country should introduce VaR to evaluate the financial risk at present. The second chapter mainly introduces the theoretical framework of VaR methods. Firstly, it's about the innovation background of VaR and its development in history. It is due to the fast development of financial market and continuous financial innovation, not by chance, that VaR was developed. The birth of VaR raised the great interest of experts, thus promoting the further development of the theoretical knowledge and practical research of VaR. Secondly, the thesis continues to introduce the concept of VaR and its meaning. This chapter analyses three main calculating methods of VaR: Historical Simulation, Varianceļ¼Covariance and Monte Carlo Simulation. All of these three methods are based on historical data to calculate VaR. However, each has its own characteristics and applicable scope. The thesis then analyses the advantage and disadvantage of VaR, and also advances the ideas to improve it. To guarantee the effectiveness of VaR, it brings forward follow-up checkup. At last this chapter summarizes the application of VaR method in the risk supervision.The third chapter is mainly about establishing risk monitoring information system based on VaR model. It firstly talks about the technology. The system will use the three-layer model, which has good flexibility. The next step is to determine the goal and principle. The development of the system should follow the principle of consolidation, which will be realized in the further development. The third step is to have a total design for the whole risk monitoring system: To first analyze the total structure according to the specific demand of the banks; then divide the system into seven function modules- right setup, data collection and gathering, data request and printing out, analyzing model, data analysis, report form definition and system setup.The forth chapter mainly discusses the analysis and design of these seven function modules. By splitting the function of each module, the author advances a complete framework of a risk monitoring information system...
Keywords/Search Tags:VaR (Value at risk), risk supervision, commercial bank, nformation system
PDF Full Text Request
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