Var Model Risk Management In Commercial Banks

Since the beginning of the 21 century, along with the trend of economy globalization, a business environment has been formed in the whole world area, more and more commercial banks are charged with more complicated risk. Owning to the fact that less and less profits commercial banks gained in the traditional businesses on interest, cash and settlement. They are turning to high risky capital market and financial derivative instrument market, it causes an emphasis in measurement, control and management of commercial bank risk-management; furthermore, because of the result of creative financial derivative instruments, modern commercial banks risk-management are getting more complicated than it before, risk-management is widely used in the various marketing transaction variety. It is vitally important that new methods must be taken by commercial banks in the learning and application field of risk-management.The past static risk-managements are based on working experiences and operation procedures. For financial products is facing to market, financial transactions greatly effected by market fluctuation. We must use new dynamic methods to control and manage the risk at real time from a brand new point of view; meanwhile, in order to easily control commercial bank risk, the effective systemic risk-management models must be established accordingly to reveal the hidden risk.After concluding the main types of commercial bank risk, this dissertation is based on the datum of the routine businesses from United Overseas Bank the author is working at. Main contents of this dissertation consist of the following three parts. 1) It brings out the background of the commercial banks risk-management and several common risks commercial bank faced. 2) It presents basic theoretical concept of VaR model, the way of its measurement, its application, its development and new controlling methods. 3) It offers general structure of risk-management, which has VaR model as its core basing on the daily businesses of United Overseas bank.