Value At Risk (VaR)-based Commercial Bank Capital Configuration Analysis And Applied Research

Business range of modern commercial bank has broken the traditional business boundaries of deposits, loans, and international exchange gradually expanding to a services-universal financial institution engaged in variety of financial business. With the continuous expansion of business, commercial bank assets are becoming more diversified, and risk is correspondingly increased. Therefore, the risk management of commercial bank is becoming more important, and the function of capital allocation which is taken as an important measure to absorb and sustained-release the risk is more prominent in its day-to-day operations.In commercial banks risk management, on the one hand, the unparalleled of advantage of VaR in risk measure makes it industry recognized new standard in currently financial risk measure, and Basel Committee also permits commercial banks which meet those conditions to use VaR method to estimate its capital adequate rate, which further promote VaR in risk measure to international specification; on the other hand, configure corresponding capital pursuant to risk size of assets is an effective risk management means to guarantee the sound business of commercial banks. Under the external economic environment, commercial banks in China must adapt to the trends of international banking risk management in the process of reach out to the world, and timely introduce VaR method to accurately measure their asset risk faced, and allocate the capital for the corresponding asset based on the result measured by VaR method, and guarantee the safety of its operating condition.As distribution status of yields on assets must be assumed when using VaR method to measure the risks faced by commercial banks, as well as an estimate on the rate of volatility. The related statistics research indicates that assets income rate distribution generally manifest as left partial and fertilizer tail. to over fit assets income rate distribution state, Empirical method in this article will combine the feature and select Student-t distribution function to over fit, while to further indicate that usual income rate normal distribution assumption is not reasonable. Compare analysis result obtained from the assumed state of Student-t distribution and normal distribution in empirical analysis, and record the result according to statistics description from the return rate of and VaR back-test results state that the normal distribution assumptions will undervalue risk faced by assets; In addition, in order to dynamically monitor configuration of commercial banks capital, and prevent too much capital was occupied or shorted, based on the volatility rate of time-varying characteristics, introduce GARCH model to estimate time-varying variance, thus, configuration capital based on risk measurement can fully take capital risk size change in account, and make timely adjustment raising the funds efficiency of commercial bank. Furthermore, in order to ensure the accuracy of VaR measurement result, this article is taken as a complement to VaR method, it will further describe the VaR measurement tests and do back test combining the basic requirements of Basel agreement in empirical analysis. At last, capital allocation strategy and other related issues are drawn by theory and empirical analysis, namely make efficient use of the funds of commercial banks by capital allocation and monitoring strategy which is dynamic monitor and control capital setting alert thresholds.Because balance sheet as a constraint for fund raising and use of commercial banks, analysis of optimal capital allocation mainly will take place within the framework of its analysis of the balance sheet, combined with VaR on the quantification of risk, and quantitatively describe the capital configuration optimal size of commercial bank. Firstly, this analysis will start from the capital composition of commercial banks, analyze the different roles of various components in sustained-release risk, and instruct this paper is to capital allocation on the premise of ensuring equity capital preservation and appreciation;Secondly, according to the study of the various components, propose how to raise capital and effectively configure it, finally, introduce optimization of capital configuration of commercial banks with VaR results of the quantitative risk. While the article analyze capital configuration of single assets and assets combination, and describe commercial banks business management policy is that should be risk management from overall, or should be risk management of single assets, and is also the main capital configuration policy described in this article. It means that assets combination configuration capital will better than on single assets configuration capital, while compare dynamic capital configuration and static capital configuration in the article two Species State, to improve funds using efficiency of commercial banks, and commercial banks should dynamically monitor number of its capital configured.