Financial Risk Management System Design Based On Var

Nowadays, with the rapid development of financial industry in China, financial risk management has been the critical part of financial firm management, the purpose of risk management is not to control the firm risk but to increase the firm value. So risk management has same important meaning as business management and strategy management do in firm management and achievement. For the domestic securities firm, the financial market risk has been one of the basic risk which have to be faced because of the great fluctuation of market interest rate and exchange rate, meanwhile, from the historical financial events, the financial market risk is also the source factor of credit risk, liquidity risk and the other financial risk, and as a result, the domestic securities firm urgently need an intuitive, accurate and effective financial risk quantitative tools in order to enhance the total level of the firm’s risk management.For the above reasons, according to the actual demand for financial risk quantitative management of the domestic securities firm, this article put forward the design of financial risk management system based on VAR model, and calculate the maximum loss of the portfolio in a specific time period in the future by VAR model while show the calculation results by financial statements. By the use of software engineering methods, first of all, this article analyze the architecture of domestic securities firm’s risk management system. Secondly this article analyze the three classical VAR models and their feature, and put forward the calculation of portfolio market risk by using the Delta-Normal model, which integrate the actual demands of risk management by securities firm. Lastly, according to the analysis results of system demands, this article design the architecture of system, the database, the function of data acquisition and the other system applications, and use the c++ado, Delphi data snap, sql-server stored procedure and other technique to achieve the application of the statements reporting, the middleware and the automatic calculation of VAR model. The design of the system can resolve the financial market risk quantitative management problem of domestic securities firm, and the senior manager can clearly realize the risk exposure of portfolio so that they can pertinently handle with risk management of portfolio.