Based On VaR Under The Perspective Of China Commercial Bank Market Risk Prevention Research

The risk management ability of commercial Banks determine the profits and losses of commercial Banks, commercial Banks can find proper and effective management methods to manage risk will determine whether commercial Banks win or fail in the future. Since 1980, the commercial bank’s interest rate control, trading business control of gradually relax and from separate operation mode to mixed management pattern, the financial competition has intensified, interest rate risk, exchange rate risk and liquidity risk constantly emerge, many commercial Banks in the process to fail. In this case, people begin to aware of the market risk seems more higher than that of the credit risk of harm. As the exchange rate mechanism reform and the deepening of the interest rate liberalization, Chinese commercial Banks by the change of the environment has been turned upside down, is no longer a banking credit risk is one of the biggest hurdles that needs to be solve, market risk and credit risk, operation risk together three risks common to become the main content of the commercial bank risk control in China. China’s accession to the WTO to further open the financial markets, thus expanding the market risk of commercial Banks. In 2007 the U.S. real estate the subprime loan crisis led to the subprime mortgage market investment fund was forced to close, stock market volatility, causing the global economic crisis, the effects of the still unsolved, serious slows down the development of the world economy. In this case, risk management, especially the market risk guard once again become the focus of attention.With the economic society developing, how to use the existing theories and tools of commercial Banks in the face of market risk forecast analysis of all, finding the reasons, and the most effective measures, establishing the perfect mechanism, thereby reducing the market risk of commercial Banks, has become a problem that can’t waiting to solve. This paper is mainly based on the current industrial and commercial bank of China in the face some problems and difficulties in daily business activities, use of management, finance, econometrics and other academic theory and using the quantile regression model based on Va R to analyze and predict the market risk to the industrial and commercial bank of China, this paper, taking the overnight interbank market weighted interest rate as the research object of empirical analysis to study the industrial and commercial bank of market risk. Then analysis the reasons of the market risk and find a solution to the problem, put forward feasible Suggestions to prevent:Firstly pointing out that in today’s competitive market environment, banking to strengthen the necessity of industrial and commercial bank of China market risk prevention capacity. And the formation of the industrial and commercial bank of China the cause of the practical aspects of market risk analysis, and in accordance with requirements of the new Basel agreement carefully, points out the problems that its capital adequacy ratio and earnings. Finally pointed out that in the marketization of interest rates gradually and the financial innovation under the condition of growing, China’s market more freedom, more open, the market risk will be more complex, it is urgent to consider more factors for us, better tools and measures to face the complex and changeable market environment.Secondly, when the market risk measurement of this paper introduces the different kinds of measuring tools, and through comparing the advantages and disadvantages, pointing out the advantage of Va R method, and decided to use the Va R method to measure industrial and commercial bank of market risk, and combines the quantile regression method to estimate the Va R method. Va R method in the international has a pivotal position on the field of risk measurement, so using this method can adequately powered market risk measurement and analysis of the industrial and commercial bank, the bank lend to interest rates based on the empirical analysis, accurate for industrial and commercial bank of China the market risk is forecasted, and find a solution, for the industrial and commercial bank of can in the fierce competition in the banking industry in the profitability, survival laid a foundation.Finally, on how to perfect the industrial and commercial bank risk management system, and provides feasible Suggestions to prevent effectively control risk.