The Calculation And Management Of VaR System In The Commercial Bank

In July 21,2005,The People's Bank of China made the announcement on reforming the RMB exchange rate regime.China has moved into managed float exchange rate regeme, with reference to a basket of currencies.RMB will no longer to be pegged to the USD. Be the series of reform such as expanding immediate foreign exchange market business main body range , leading into enquiry business way , the range expanding the forward knot selling converging , allowing to swap, have pushed forward development of our country bank room foreign exchange market .Ever since, our country exchange rate has realized real relocatability just now. At the same time, be the relatively bigger commercial bank of foreign currency volume of business , will be confronted with the system risk that business risk , obversion risk and economy risk, especially our country is in exchange rate system arouse in transforming because of it. The commercial bank will face to new risk frontage risk which is accustomed to the selling in tradition knot converging .If it is in differrnce to the new risk ,crisis will come. several time of financial crises have already been left bitter experience by us if continuing to exchange rate. The current commercial bank must improve exchange rate risk administration ability, ability keeps the stable and healthy development managing. For avoiding falling into a rut, how effectively to manage exchange rate risk of commercial bank becomes more and more important. VaR method is clear at a glance as one kind of quantization risk implement ,which can provide quantization for the director , has had extremely strong operatability , has got broad application over the past few years in abroad. Not only VaR method applys to bank institution such as commercial bank and investment bank , but also this method is adopted by supeviser every country. Whether adopting VaR method is called the universally accepted index measuring the level of risk administration on the a banking institution at present. This thesis has introduced the application of VaR method and from the actual situation of Chinese foreign exchange market , we adopt advanced ARCH model to analyse VaR method pragmatism in risk administration, and has reached VaR method in our country commercial bank exchange rate having the value applying within certain range. But because system does not build completely of our country exchange rate , various supporting measures does not improve and perfect, system refonns exchange rate still being in an exploration among, that these factors have restricted VaR method in commercial bank exchange rate is effective to hit the target risk . We must get know to the system risk of the coming exchange instisution reform. The scene analysis and pressure testing will be adopted. The development deploying and realizing banker's rate risk manages the capital appraising, optimizing bank credit risks by the fact that VaR system can perfect the bank risk achievement effect. In order to manage the exchange risk more effectively ,the commercial bank must strengthen risk mental consciousness, develop a finance energetically derivative to avoid the risk.And now we will reinforce the data spicilegium, arrange and lay down basis for talented person reserve, which is to build a set of actual our country VaR suitable administrative system.