A Research On Market Risk Measurement Of Commercial Banks Of China

With the acceleration of the interest rate and exchange rate marketlization in China, as well as the expansion of business scale for intermediary business, the assets of transactions hold by China's commercial banks have increased year by year. Meanwhile, the traditional boundaries of the sub-sector are increasingly blurred according to the trend of today's international financial services industry. Mixed business has become the inevitable trend of financial market development. It can be predicted that China's commercial banks will encounter increasing market risks. In this situation, it is very important for commercial banks of China to improve their market risk management. However, as a core of market risk management, measuring the market risk has become the most difficult part for commercial banks of China to raise the level of their market risk management. A number of commercial banks of China, especially the four major state-controlled commercial banks, have begun to use the value at risk model to measure the market risk of their trading account, which has significantly improved the level of their market risk measurement. However, there are still many deficiencies in market risk measurement based on the situation of China and the lessons from advanced international banks. Specifically, value at risk model is not suitable for the situation of the financial market of China, as well as market risk measures fail to completely play a role in market risk management issues. This article is to study the reasons for the above-mentioned problems through empirical analysis, and on this basis, propose solutions to these problems.