The Market Risk Measurement Research Of China Commercial Bank Based On VaR

Along with financial marketability advancement's gradual quickening,,market risks which our country Commercial bank faced increase gradually, this immediate danger the effectiveness of operation and movement stability of our country Commercial bank。Because our country Commercial bank implements the planned economy for long time. the interest rate and the exchange rate are fixed,therefore they don't have the market risk nearly, also pay no attention on the management of market risk。The market risk management level of our country Commercial bank has been insufficient for the market risk which deals increases day after day。Therefore,our country Commercial bank urgent ly needs to profit from the international advanced managerial technique and the experience to manage our country Commercial bank's market risk。The VaR model has been taken widespread application in the West Commercial bank as advanced risk management method。In our country, because it is late to start the research on the VaR model theoretically,as well as our country money market own constraints,,enables the VaR model to obtain the widespread utilization。But as WTO and the Barthel agreement's member nation,our country Commercial bank urgently needed to adjust and gradually fit the international convention trail as soon as possible。Therefore,,it is significal and profound influence to study and profit from the advanced VaR model to manage our country Commercial bank market risk。From this,This paper analyses and studies completely and systematically the states in market risk。introduces the VaR risk measurement model, carrying on the empirical analysis to VaR through the two kinds of data of middle exchange rate Euro and Pound ,attempts to seek efficient path to establish the market risk measuring technique and the management system to suit our country national condition。...