The Application Of VaR Model In Market Risk Management Of Lanzhou Bank

Banking reform should be born of the reform of city commercial banks associated with new life, changes in the status and impact of China's banking sector has become more prominent. As the Increasingly important composition of China's banking sector members, the increasing the risk attact attention of the industry and customer. Intense competition in the banking and commercial banking business and asset diversification, commercial banking market risk on high-risk operation management of commercial banks has become increasingly important, BaselⅡ, market risk related to coping strategies and solutions demonstrated favorable this proposition. Into the years, the rapid development of Lanzhou Bank, has made remarkable good results, has become a constantly expanding business scale, asset quality continues to increase, growing profitability, and improve social awareness of a local joint-stock commercial banks. But the market risk of commercial banks, management is still relatively lacking, management, the more traditional measurement techniques, the bank can not meet the development needs of Lanzhou, in order to effectively respond to the competitive environment in the broader, more powerful opponent, playing a first-class banks to Lanzhou regional banks, the paper market risk from commercial banks and large commercial banks international strategic market risk management philosophy, combined with the development of live Lanzhou banks, commercial banks, Bank of Lanzhou demonstrated the need for management of market risk, the VaR model for empirical application in Lanzhou Bank feasibilityThis article consists of six parts:The first part is the introduction, including background and significance.The second part is the research situation.The third part defined the market risk of commercial banks and the market risk management, discussed the traditional commercial banking market risk management theory, in the gap analysis, duration analysis, theory of foreign exchange exposure analysis, comparative study, emphasizing the VaR theory.The fourth part is to introduce the Risk Management in the banking market in Lanzhou Part V used the VaR theory on risk management among banking market in Lanzhou, including instances of empirical research and model testing. This historical simulation by measuring the maximum possible loss of business that is an instance of VaR values and testing methods used Kupiec likelihood of feasibility and effectiveness of the model one by one test done.Part VI is the conclusion part, the paper said:market interest rates and the return series shows the characteristics of a fat tail, and showing a clustering is suitable to establish the appropriate measure of market risk VaR model; use history based on historical interest rate distribution Simulation of the typical operations of a bank in Lanzhou Value at Risk VaR model that the market for risk measurement, for the 95% confidence level, the failure rate by Kupiec get a better measure of test results. For the banking market risk measurement, Lanzhou, VaR model is a good choice.