The Application of VaR Method in Risk Management of Chinese Listed Commercial Banks

Weidong Jiang

《World Scientific Research Journal》 6卷6期 (2020/06) Pp. 234-249

https://doi.org/10.6911/WSRJ.202006_6(6).0030

摘要

As the core institution of Chinese financial system, commercial banks' own development plays a vital role in the stability of Chinese financial system. Based on the daily closing price data of 16 listed commercial banks in China, this paper measures the value-at-risk of Chinese listed commercial banks based on its logarithmic return sequence ＂peaky thick tail＂ and volatility clustering characteristics, combined with the AR-GARCH model with generalized error distribution. The results show that: Among the three types of commercial banks, state-owned commercial banks have lower risks and stronger ability to deal with their own risks; while city commercial banks have higher self-risks and weaker ability to deal with their own risks.

關鍵字

Value-at-risk ； GARCH model ； logarithmic rate of return

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