Study On Management Of Market Risk For XA Commercial Banks

Many of the classic financial theories and models are based on the Efficient Market Hypothesis (EMH ). However, with the development of society, the economy and economic system structure become more and more complexity, and the financial phenomenon becomes too difficult to use traditional financial theory for explaination. Therefore, experts began to seek new theories to explain those complex phenomenon.The fractal theory we use in this paper to study bank market risk is a typical theory. In recent years, many domestic and foreign studies show that financial time series is a typical non-linear characteristic, with chaos and fractal. Therefore, we can theoretically study fluctuation rule of financial data from a more fine scale. The data distribution, fluctuation and empirical research have been very popular, but further study on how the theory and practical risk management needs exploited.Firstly, this paper introduces the reasons and classifications of commercial bank risk, for the frequency and wide social affluence choose market risk as the research object; then use fractal theory to improve current risk evaluation model. The next step, analyze fractal characteristics for market risk by gold market price fluctuation analysis and fractal prediction analysis, study the prediction of commercial bank market; the dynamic fractal theory considers the market is changing and evolution all the time, so juts understanding the feature of fractal distribution can not control the risk, researchers also need to study the prediction. Finally from the practical significance, this article combines the theory of fractal and commercial banks risk study methods-VaR, tries to put forward a fractal VaR as a new risk assessment tools, combined with management knowledge to design a market risk management system.This article believes that along with the commercial bank commercialized processthe market becomes more and more complexity, so study based on the fractal complexity science is very necessary, and should continue to conduct in-depth analysis. Also should put these theories into practice as the fractal distribution fluctuation characteristic analysis .