Application of VaR Model in the Market Risk Management of Commercial Bank in China

Zhou Fang ； Feihong Ju ； Yang Wang ； Yirui Sheng

《Frontiers in Sustainable Development》 1卷7期 (2021/10) Pp. 112-116

https://doi.org/10.29500/FSD.202110_1(7).0021

摘要

VaR is one of the international mainstream market risk measurement tools and is widely used abroad. With the comprehensive opening of China's financial market, regulators learn from Basel to encourage commercial banks to use VaR model to measure market risks. According to the annual reports of listed banks, China's commercial banks have been constantly learning the methods and modes of market risk management in recent years, and mainly use value at risk, sensitivity analysis, exposure analysis, stress test and other methods in risk measurement methods. The market risk measurement mode and model of large banks have been continuously improved. At this stage, the market risk measurement and management system with VaR as the core has been established.

關鍵字

VaR ； Commercial Bank ； Market Risk ； Basel ； Financial Risk Management

參考文獻

X. Wang: Market Risk Analysis of Chinese Commercial Bank Based on VaR, Journal of Luoyang Normal University, Vol.05 (2016), 65-67. (In Chinese)

H.C. Zhou: Commercial Bank Risk Management Based on the VaR Model, Cooperation Economy and Science and Technology, Vol.04 (2016), 73-74. (In Chinese)

L. Yang: An Empirical Study on Market Risk of China's Commercial Banks Based on VaR—Taking Shanghai Pudong Development Bank as An Example, Oriental Corporate Culture, Vol.18 (2015), 138-139. (In Chinese)

N. Li, P.Y. Fan, Y. Wang, M. Chen: VaR Study on Commercial Bank Market Risk under New Capital Protocol, Mathematical Statistics and Management, Vol.06 (2014), 1080-1089. (In Chinese)

Y.L. Zhao: Research on the Risk Management of Chinese Commercial Bank Market Based on VaR Model, China Economic and Trade Guide, Vol.29 (2014), 41-43. (In Chinese)