The Empirical Research Of Market Risk Management About Commercial Banks In The Chinese Stock Market

In the course of financial innovation and financial deepening, there are more and more financial derivatives. Banking faces up with international challenge and competitive pressure, at the same time banking encounters the newer and higher standards of risk management in the change of macroeconomics, especially in market risk. The Basel Committee on Banking Supervision advised that take market risk as a new factor in Capital Adequacy Ratio for creating the fair environment. And the committee also advised that take VaR model as technique for valuing market risk. It is not until March,2011 that there are 16 banks in Shanghai and Shenzhen stock market. In the one hand, it is helpful to establish modern enterprise administration system; on the other hand, it takes new market risk. Both interior and exterior factors require commercial banks in the Chinese stock market for researching more on market risk.Chapter 2 introduces theoretical basis about market risk. Generally speaking, risk is uncertain. Financial risk has not only the general characteristics but also specific characteristics, such as positive correlation and diffusibility. Market risk refers to value loss because of market factors, such as interest rate risk, foreign exchange risk, stock market risk and commodity price risk.Chapter 3 begins with some successful examples about market risk controlling in modern international commercial banks. This part mainly describes how commercial banks in the Chinese stock market control market risk now and emphasizes influence from being reconstructing stock-holding system to be listed in public. It includes interest rate marketization reform, foreign exchange marketization reform, opening capital account and introducing overseas strategic investors. In the end of this part, we conclude that there is still not mature and effective market risk controlling system in commercial banks in the Chinese stock market.Chapter 4 explains how to calculate market risk. The Basel Committee on Banking Supervision suggests that VaR model is used to measure market risk. Before, it simply introduces sensitivity analysis, duration analysis, scenario analysis and stress test. All of them are used to measure market risk. In comparison with them, VaR model is more comprehensive and practical. VaR abbreviated by value at risk means in the confidence period at some confidence level the targeted assets loss as much as possible. VaR model is very useful in commercial banks, for instance, financial supervision, and performance assessment and information announcement. In the 16 commercial banks in the Chinese stock market, it takes 6 typical banks as samples. In the basis of VaR model, we apply historical analysis and GARCH model respectively to calculate VaR values.Chapter 5 is the end of the thesis and includes some suggestions in the result of empirical study. Chinese financial supervisions are confronted with numerous difficulties. they should construct market risk management regulations according to international standards. In the light of the empirical result, it shows that market risk of the samples is close or higher than systematic market risk. Commercial banks in the Chinese stock market should control and manage market risk more timely and effectively. At last, commercial banks in the Chinese stock market must establish market risk data information system.