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On The Reference Of The Risk Management Of Commercial Banks In The Var

Posted on:2005-03-26Degree:MasterType:Thesis
Country:ChinaCandidate:S R GaoFull Text:PDF
GTID:2206360122980764Subject:Business Administration
Abstract/Summary:PDF Full Text Request
Along with the development of market economy , the feature of the financial economy of our country is more and more obvious, commercial bank plays more and more important role in national economy, it affects the operation of security market, the quantity of currency, the development of investment and national economy. Because of the influence of the system and the level of risk-management. A large number of bad assets of domestic commercial banks have appeared , and Chinese banks face the greater problem in risk-management, especially,they do not establish the scientific risk-management system that accords with international superintendency standard,its international competitive ability is more weak. Since a lot of problems have arisen in the bank of our country in reforming development course, financial risk has been assembling , the risk of bank is more and more extensive and uncertain. This not only affects its normal operation and living , but also threatens Chinese economy and financial steady development.Domestic four state-owned commercial banks will enter the domestic and international market before 2007 , the risk-management of commercial bank will be put in key position, the risk management of commercial bank will step by step tends to the management standard of international bank. In order to reduce the risks and survive in the drastic market competition,active and voluntary riskmanagment is the advisable strategy that can lead to the final victory. G30 and J .P Morgon pointed out: One of the key ability of financial organization is a model building for financial market behavior. In order to deal with complex finacial environment, the risk management theory, method and technology of international large bank present new forms, VAR becomes new standard of the risk-management. In home, risk-management becomes important day by day , theoretical circles and bank circles pay more and more attention to risk- management and VAR's application . But now, theoretical circle mainly introduce the VAR's method , the environment and ways for VAR's application are not researched, bank circle lack guidence that suits reality. Therefore,this article focuses on how to use VAR technology in the risk management of domestic commercial banks. Along with the logic thinking from the VAR's background ― ―VAR's effects and the environment of foreign bank ― ― VAR's ways and the environment of Chinese bank. Based on the analysis of VAR's applied mode of foreign bank, this article analyzes our bank's problem in risk-management,discusses the ways and the futures of using VAR in the bank of our country. The article consists of five chapters. Chapter one is a general introduction to the history,its development trend in the future and general applied scope.Meanwhile the general concepts of VAR,its computational way are recited in this chapter.Chapter two analyzes the applications of VAR in foreign bank's risk-management. First, the author analyzes the condition of using VAR through the description of risk quantification management and financial superintendency of foreign bank, Secondly , the author analyzes risk management application environments of forign bank through the description of compond-operation and all-round bank ,risk management melted product,attention on risk-management , advanced risk--management technology. Finally we evaluate the effect and problem in utilizing VAR. Chapter three analyzes the environment of Bank of China through the description of quantification trend of credit risk-management,changes of risk-management model ,necessity of using VAR,motive of using VAR and supervising laws. Chapter four consists of three segments:the defect of superintendency ,the problem in market development and the problem in domesic bank. Chapter five is a general exposition of the way and the prospect of using VAR. Firstly,we introduce the way through the description of the interal and external environmental construction of bank , arranging...
Keywords/Search Tags:commercial bank risk management, VAR ( value at risk )
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