Study On The Beta Coefficient Calculation Of The Commercial Bank Based On VaR

Beta coefficient has a pivotal position in the CAPM model and risk management,however,previous scholars tend to obey the normal distribution as the assumptions when they calculate the beta coefficient,and few calculate the beta coefficient of various industries in the empirical analysis.Based on this,in order to make the beta coefficient has more reliability,practicability and pertinence,this paper divides the research scope ioto commercial Banks in China,and choses 16 listed commercial Banks in China as the research object in the empirical part.On the estimation model,this paper chose VaR-beta model proposed by Yao Jing,Yuan Zi Jia,Li Zhong Fei,Li Duan(2009).In choosing the estimation method of the VaR-beta model,this paper adopts the kernel density estimation method,one of three ways proposed by Yao Jing,Yuan Zi Jia,Li Zhong Fei,Li Duan(2009).Then calculating the VaR-beta coefficient of each commercial bank,after compared with the traditional beta coefficient,this paper finally concludes the advantages and disadvantages of the VaR-beta model in our country commercial bank value assessment and risk management.Through the analysis of the empirical in this paper,VaR-beta value is calculated under the kernel density estimation method,and the kernel density estimation is not sensitive to the choice of kernel density function,which doesn't consider the distribution characteristics of yield sequence.On the contrary,the calculation is mainly based on the real characteristics of the data,radically reducing the estimation error.In addition,the VaR-beta value calculated by this article is largely depended on the confidence level-alpha,so the enterprise can determine the confidence level-alpha according to its operating conditions,risk to bear ability and investor sentiment in the market,keeping enterprise's capital with the minimum cost and accurately evaluating its own enterprise value;For investors in the market,before making the investment decision,they can choose the confidence level-alpha on the basis of the whole market,management status and risk tolerance of the enterprise and their own preference,and determine the VaR-beta value of the enterprise,ultimately get the enterprise value according with their investment preference.