Research On Risk Management Of Commercial Bank Under VaR Constraints

VaR risk management model, as the future development direction of risk management, is comprehensive risk measurement method, which is increasingly accepted and applied to the international flourish bank and financial regulatory agency. Now VaR model has been the mainstream method of risk measurement and management in the modern international financial field. The paper researchs risk measurement and management of commercial bank by the use of VaR's theory and method under the restraint of the New Basel Capital Accord, and obtains the value of risk of commercial bank by the use of Matlab and Eviews statistical software with many empirical cases and calculation examples. It is very important in theory and practice how to improve the risk management level and reduce the distance among China bank industry and international bank industry.The paper first introduces the basic principle and calculation methods of VaR systematically. Then the paper constructs the VaR model of measuring consumer credit portfolio based on the application of Credit Metrics, and obtains the calculation formula of VaR of the single consumer credit asset and the portfolio and studies the effects of credit rate, loan period, loan amount and correlation of the assets on VaR. Moreover, under the assumption that the house value process is driven by geometric Brownian motion with Poisson jump, the paper measures the VaR of housing consumer credit risk by KMV model, and discusses the relationships between the expected default probability and the loan rate, loan period, ratios of loan limit, volatility of housing value, jump intensity and jump magnitude. The results of numerical calculation of example show that the bad loan rate of commercial banks can not reflect the true level of default. The paper builds up VaR model of market risky asset by the Pareto distribution and Weibull distribution with skewness and heavy tails. Empirical results show that VaR will be underestimated by the historical simulation method, but it is reasonable based on VaR model of the Pareto distribution and Weibull distribution because of.more stable results. With the application of BMM model and POT model of extreme value theory, the paper estimates the extreme value of operational risk loss with Pareto distribution and General Extreme Value distribution. The paper selects the threshold based on kurtosis method, mean excess function and Hill estimation, respectively, and uses maximum likehood estimate method to obtain the parameter of the distribution. The empirical results show that POT model and BMM model of extreme value theory can estimate exceed its original data and is suitable for small sample data to measure extreme operational risk loss. So it is feasible in practice of view that the VaR of operational risk can be measured by POT model and BMM model.Based on Markowitz portfolio theory, under the condition of transaction cost, considering the constrain on VaR of loan portfolio, law, regulation and operation, using portfolio yield maximum and risk minimum of commercial bank's asset-liability as objective function, the paper sets up the optimal combination model of asset-liability-management of commercial bank. Finally the paper analyzes the measurement of EC from the perspective of VaR and build the economic capital model of single asset and portfolio based on the correlation between single asset and portfolio. At the same time, we establish RAROC model and put up some suggestion for risk management of China's commercial bank.The study results of this paper broadens the research area of risk measurement and management of the financial institution and strengthens the depth of its research. Especially in this paper, the calculation example and empirical research based on China's financial market could promote China's financial institution risk management by leaps and bounds.